Media Makes Momentum

Hillert, Alexander ; Jacobs, Heiko ; Müller, Sebastian

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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)
Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber -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.

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