Media Makes Momentum

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 f...

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Bibliographic Details
Published inThe Review of financial studies Vol. 27; no. 12; pp. 3467 - 3501
Main Authors Hillert, Alexander, Jacobs, Heiko, Müller, Sebastian
Format Journal Article
LanguageEnglish
Published Oxford Oxford University Press 01.12.2014
Oxford Publishing Limited (England)
Subjects
Bias
Credibility
Financial economics
Financial portfolios
Forecasts
Individualism
Investment policy
Investors
Journalism
Media
Media coverage
Nasdaq Composite Index
News media
Press
Price momentum
Rates of return
Stock prices
Stocks
Studies
U.S.A
United States > US
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Summary: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.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
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ISSN:0893-9454
1465-7368
DOI:10.1093/rfs/hhu061