Media Coverage and the Cross‐section of Stock Returns

Media Coverage and the Cross‐section of Stock Returns

  • LILY FANG
  • JOEL PERESS

Article first published online: 28th September 2009 DOI: 10.1111/j.1540-6261.2009.01493.x

Abstract


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.

Sign in to access the full article.

Related articles


Why Do U.S. Firms Hold So Much More Cash than They Used To?

  • THOMAS W. BATES
  • KATHLEEN M. KAHLE
  • RENÉ M. STULZ

Article first published online: 28th September 2009 / DOI: 10.1111/j.1540-6261.2009.01492.x

Read Article

Electing Directors

  • JIE CAI
  • JACQUELINE L. GARNER
  • RALPH A. WALKLING

Article first published online: 28th September 2009 / DOI: 10.1111/j.1540-6261.2009.01504.x

Read Article

Credit Contagion from Counterparty Risk

  • PHILIPPE JORION
  • GAIYAN ZHANG

Article first published online: 28th September 2009 / DOI: 10.1111/j.1540-6261.2009.01494.x

Read Article

MISCELLANEA

Article first published online: 28th September 2009 / DOI: 10.1111/j.1540-6261.2009.01505.x

Read Article

Frailty Correlated Default

  • DARRELL DUFFIE
  • ANDREAS ECKNER
  • GUILLAUME HOREL
  • LEANDRO SAITA

Article first published online: 28th September 2009 / DOI: 10.1111/j.1540-6261.2009.01495.x

Read Article

Back Matter

Article first published online: 28th September 2009 / DOI: 10.1111/j.1540-6261.2009.01506.x

Read Article

Are you an Author?


Please read our submission requirements and find out how to submit your paper to the Journal of Finance

Submit a paper