Media Makes Momentum

DOI:	https://doi.org/10.2139/ssrn.2023442
Additional URL:	http://ssrn.com/abstract=2081881
Document Type:	Working paper
Year of publication:	2012
The title of a journal, publication series:	SSRN Working Paper Series
Place of publication:	Rochester, NY
Publication language:	English
Institution:	Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSB (Business Studies) Business School > Internat. Finanzierung (Ruenzi 2009-) Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
Subject:	330 Economics
Abstract:	Relying on more than 2.2 million articles from 45 national and local U.S. newspapers, we explore the link between (excess) press coverage and momentum profitability. From 1989 to 2010, firms particularly covered (neglected) by the media exhibit ceteris paribus significantly stronger (weaker) momentum. Put differently, return predictability is strongest for firms in the spotlight. This finding is robust and also withstands recent critique regarding the interaction of stock characteristics and momentum established in previous studies. Digging deeper, we find that the effect is stronger in US states with higher investor individualism and among stocks predominantly held by overconfident fund managers. In line with prominent models, our results collectively support an overreaction-based explanation of the momentum effect.