Relying on 2.2 million articles from 45 national and local U.S. newspapers between 1989 and
2010, we find that firms particularly covered (neglected) by the media exhibit ceteris paribus
significantly stronger (weaker) momentum. The effect depends on article tone, reverses in the
long-run, is more pronounced for stocks with high information uncertainty, and stronger in states
with high investor individualism. Findings suggest that media coverage can exacerbate investor
biases, leading return predictability to be strongest for firms in the spotlight of public attention.
These and further results collectively lend credibility to an overreaction-based explanation for
the momentum effect.
Dieser Eintrag ist Teil der Universitätsbibliographie.
Suche Autoren in