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Media attention to locations and the cross‐section of stock returns

Media attention to locations and the cross‐section of stock returns This paper investigates the relationship between media attention to a location and the price behaviour of stocks headquartered there. Using monthly media coverage of 236 prefecture‐level cities in mainland China, we find that stocks in cities with higher abnormal media attention outperform stocks in cities with lower abnormal media attention by 3.72 percent per year, and the positive relationship between attention and returns holds after controlling for firm characteristics, firm‐level attention proxies and local economic conditions. Moreover, the initial positive price pressure is completely reversed within three months. Our results remain robust when we take endogeneity and other concerns into account. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

Media attention to locations and the cross‐section of stock returns

Accounting & Finance , Volume 61 – Apr 1, 2021

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References (78)

Publisher
Wiley
Copyright
Accounting and Finance © 2021 AFAANZ
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/acfi.12663
Publisher site
See Article on Publisher Site

Abstract

This paper investigates the relationship between media attention to a location and the price behaviour of stocks headquartered there. Using monthly media coverage of 236 prefecture‐level cities in mainland China, we find that stocks in cities with higher abnormal media attention outperform stocks in cities with lower abnormal media attention by 3.72 percent per year, and the positive relationship between attention and returns holds after controlling for firm characteristics, firm‐level attention proxies and local economic conditions. Moreover, the initial positive price pressure is completely reversed within three months. Our results remain robust when we take endogeneity and other concerns into account.

Journal

Accounting & FinanceWiley

Published: Apr 1, 2021

Keywords: ; ;

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