Media Attention and the Volatility Effect

15 Pages Posted: 21 Jun 2019 Last revised: 16 Oct 2019

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Rob Huisman

Robeco Asset Management - Quantitative Investing

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Quantitative Investments

Pim van Vliet

Robeco Quantitative Investments

Date Written: September 17, 2019

Abstract

Stocks with low return volatility have high risk-adjusted returns, which might be driven by low media attention for such stocks. Using news coverage data we formally test whether the ‘attention-grabbing’ hypothesis can explain the volatility effect for a sample of international stocks over the period 2001 to 2018. A low-volatility effect is still present for stocks with high media attention. Among stocks with high volatility, the amount of media attention is not associated with different risk-adjusted returns. Based on these findings, we reject the hypothesis that media attention is the driving force behind the volatility effect.

Keywords: Alpha, Attention, Big Data, Investing, Media, News, Volatility

JEL Classification: G11, G12, L82

Suggested Citation

Blitz, David and Huisman, Rob and Swinkels, Laurens and van Vliet, Pim, Media Attention and the Volatility Effect (September 17, 2019). Available at SSRN: https://ssrn.com/abstract=3403466 or http://dx.doi.org/10.2139/ssrn.3403466

David Blitz

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands

Rob Huisman

Robeco Asset Management - Quantitative Investing ( email )

Weena 850
Rotterdam, Zuid-Holland 3014 DA
Netherlands

Laurens Swinkels (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Quantitative Investments ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

Pim Van Vliet

Robeco Quantitative Investments ( email )

Rotterdam, 3011 AG
Netherlands

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