Media coverage and the cross-section of stock returns
Author: Fang, Lily Hua ; Peress, JoëlINSEAD Area: FinanceIn: Journal of Finance, vol. 64, no. 5, October 2009 Language: EnglishDescription: p. 2023-2052.Type of document: INSEAD ArticleNote: Please ask us for this itemAbstract: By reaching a broad population of investors, mass media can alleviate informational frictions and affect security pricing even if it does not supply genuine news.We investigate this hypothesis by studying the cross-sectional relation between media coverage and expected stock returns. We find that stocks with no media coverage earn higher returns than stocks with high media coverage even after controlling for well-known risk factors. These results are more pronounced among small stocks and stocks with high individual ownership, low analyst following, and high idiosyncratic volatility. Our findings suggest that the breadth of information dissemination affects stock returns.| Item type | Current location | Call number | Status | Date due | Barcode | Item holds |
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Europe Campus | Available | BC008788 |
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By reaching a broad population of investors, mass media can alleviate informational frictions and affect security pricing even if it does not supply genuine news.We investigate this hypothesis by studying the cross-sectional relation between media coverage and expected stock returns. We find that stocks with no media coverage earn higher returns than stocks with high media coverage even after controlling for well-known risk factors. These results are more pronounced among small stocks and stocks with high individual ownership, low analyst following, and high idiosyncratic volatility. Our findings suggest that the breadth of information dissemination affects stock returns.
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