Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks
39 Pages Posted: 11 Jul 2016 Last revised: 22 Nov 2017
Date Written: October 2017
Using hand-collected TV programming data and intra-day trading data from China, we compare the trading, liquidity, and returns of on-show and off-show stocks in the same sector. Our difference-in-difference analysis reveals that post-show, off-show stocks experience significant improvements in liquidity that is attributable to small trades. The pre-show return gap between the on-show and off-show stocks closes post-show, and there is no return reversal. We show that retail investors’ focus on off-show stocks could reflect a lack of media trust. Overall, our evidence suggests that media coverage facilitates price discovery and retail investors appear to respond rationally to media coverage.
Keywords: media, retail investors, trading, liquidity, return
JEL Classification: G14, G12, G02
Suggested Citation: Suggested Citation