%0 Journal Article %1 fanga2007 %A Fanga, Joel Peress Lily %D 2007 %K d3 %T Media Coverage and the Cross-Section of Stock Returns %X We examine the relation between media coverage and the cross-sectional dispersion of stock returns. We find a significant return premium on stocks with no media coverage: On average, these stocks out-perform stocks with high media coverage by 0.23% per month, after accounting for market, size, book-to-market, momentum, and liquidity. For small stocks, stocks with low analyst following, and stocks primarily owned by individuals, the risk-adjusted return premium is 0.65%-1% per month. These findings support the notion that information affects the cross- sectional dispersion of returns as in the models of Merton (1987) and Easley and O’Hara (2004). Liquidity and investor behavior, however, do not explain this return premium.

@article{fanga2007, abstract = {We examine the relation between media coverage and the cross-sectional dispersion of stock returns. We find a significant return premium on stocks with no media coverage: On average, these stocks out-perform stocks with high media coverage by 0.23% per month, after accounting for market, size, book-to-market, momentum, and liquidity. For small stocks, stocks with low analyst following, and stocks primarily owned by individuals, the risk-adjusted return premium is 0.65%-1% per month. These findings support the notion that information affects the cross- sectional dispersion of returns as in the models of Merton (1987) and Easley and O’Hara (2004). Liquidity and investor behavior, however, do not explain this return premium. }, added-at = {2009-03-03T13:34:44.000+0100}, author = {Fanga, Joel Peress Lily}, biburl = {https://www.bibsonomy.org/bibtex/2562e2d68ffd0b8d48ba327adf39da8c2/enterldestodes}, interhash = {3728a3c121b3c71e51825778111fad9b}, intrahash = {562e2d68ffd0b8d48ba327adf39da8c2}, keywords = {d3}, timestamp = {2009-03-03T13:34:44.000+0100}, title = {Media Coverage and the Cross-Section of Stock Returns}, year = 2007 }