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【博士生论坛第8期】Media Coverage of Industry and theCross-section of Stock Returns: Evidence from China

[发布日期]:2019-10-30  [浏览次数]:

主讲人:黄涛,好彩网下载2019级博士

时间:2019年11月1日(周五),下午16:00-17:00

地点:丁香园1号楼301

内容提要:Thispaper investigates the cross-sectional relation between media coverage ofindustry and expected stock returns. Using abnormal industry-level news volumeas a proxy for media coverage of industry, we find that stocks in industrieswith lower media coverage earn significantly higher future returns than stocksin industries with higher media coverage, supporting the investor recognitionhypothesis of Merton (1987). This finding is robust even after controlling forwell-known stock characteristics and proxies for stock-specific attention. Ourfindings further show that a long-short portfolio strategy based on this effectyields a significantly positive alpha of about 50 basis points per month afterrisk-adjusting. Moreover, a decrease in media coverage of industry predictspositive stock return in the following 2 months, only to be followed by areversal in the third month, due to the erosion of media coverage.



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