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

See all articles by Lily H. Fang

Lily H. Fang

INSEAD - Finance

Jun Qian

Fanhai International School of Finance, Fudan University; University of Pennsylvania - Wharton Financial Institutions Center

Huiping Zhang

James Cook University - College of Business, Law and Governance,

Multiple version iconThere are 3 versions of this paper

Date Written: October 2017

Abstract

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

Fang, Lily H. and Qian, Jun and Zhang, Huiping, Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks (October 2017). Available at SSRN: https://ssrn.com/abstract=2531253 or http://dx.doi.org/10.2139/ssrn.2531253

Lily H. Fang

INSEAD - Finance ( email )

Boulevard de Constance
F-77305 Fontainebleau Cedex
France

Jun Qian (Contact Author)

Fanhai International School of Finance, Fudan University ( email )

Shanghai
China
86-21-63895501 (Phone)
86-21-62934572 (Fax)

HOME PAGE: http://www.fisf.fudan.edu.cn/show-65-69.html

University of Pennsylvania - Wharton Financial Institutions Center

2306 Steinberg Hall-Dietrich Hall
Philadelphia, PA 19104
United States

HOME PAGE: http://fic.wharton.upenn.edu/fic/

Huiping Zhang

James Cook University - College of Business, Law and Governance, ( email )

Singapore
Singapore

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