Media Makes Momentum


Hillert, Alexander ; Jacobs, Heiko ; Müller, Sebastian

This is the latest version of this item.



URL: https://www.retailinvestmentconference.org/files/e...
Document Type: Working paper
Year of publication: 2013
Place of publication: Mannheim
Edition: Version February 2013
Publication language: English
Institution: Business School > Internat. Finanzierung (Ruenzi 2009-)
Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
Subject: 330 Economics
Abstract: 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.

Available versions of this item




Metadata export


Citation


+ Search Authors in

+ Page Views

Hits per month over past year

Detailed information



You have found an error? Please let us know about your desired correction here: E-Mail


Actions (login required)

Show item Show item