Media Makes Momentum

Hillert, Alexander ; Jacobs, Heiko ; Müller, Sebastian

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Document Type: Article
Year of publication: 2014
The title of a journal, publication series: The Review of Financial Studies
Volume: 27
Issue number: 12
Page range: 3467-3501
Place of publication: New York, NY [u.a.]
Publishing house: Oxford Univ. Press
ISSN: 0893-9454 , 1465-7368
Publication language: English
Institution: Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber -2017)
Business School > Internat. Finanzierung (Ruenzi)
Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSB (Business Studies)
Subject: 330 Economics
Abstract: Relying on 2.2 million articles from forty-five national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit, ceteris paribus, significantly stronger momentum. The effect depends on article tone, reverses in the long run, is more pronounced for stocks with high uncertainty, and is stronger in states with high investor individualism. Our findings suggest that media coverage can exacerbate investor biases, leading return predictability to be strongest for firms in the spotlight of public attention. These results collectively lend credibility to an overreaction-based explanation for the momentum effect.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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