IDEAS home Printed from https://ideas.repec.org/a/bla/irvfin/v19y2019i4p707-729.html
   My bibliography  Save this article

Media Coverage and the Cross‐Section of Stock Returns: The Chinese Evidence

Author

Listed:
  • Liping Zou
  • Kien Dinh Cao
  • Yishun Wang

Abstract

Using hand‐collected news headlines for a large sample of listed firms in China over a period of 2000–2015, we investigate the cross‐sectional relation between media coverage and stock returns. Our results document that no‐media coverage stocks earn 55 basis points a month higher than stocks that are featured in the media. This result is robust after controlling for common risk factors and is not driven by short‐run return reversals. Further analysis provides evidence to support the investor recognition hypothesis, suggesting that mass media may play an incremental role in providing a supplement to traditional channels of information dissemination. Therefore, results in this paper are of interests to both investors and regulators on drivers of stock returns.

Suggested Citation

  • Liping Zou & Kien Dinh Cao & Yishun Wang, 2019. "Media Coverage and the Cross‐Section of Stock Returns: The Chinese Evidence," International Review of Finance, International Review of Finance Ltd., vol. 19(4), pages 707-729, December.
    • Handle: RePEc:bla:irvfin:v:19:y:2019:i:4:p:707-729
    DOI: 10.1111/irfi.12191
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/irfi.12191
    Download Restriction: no
    File URL: https://libkey.io/10.1111/irfi.12191?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Cong-Cong & Xu, Hai-Chuan & Zhou, Wei-Xing, 2020. "News coverage and portfolio returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    2. Yao-Tsung Wu & Chien-Hung Liu & Kuo-Hao Lin & Dun-Yao Ke, 2024. "Does media coverage matter for the performance of technical trading strategies? Evidence from Taiwan," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 147-166, January.
    3. Du, Hanyu & Hao, Jing & He, Feng & Xi, Wenze, 2022. "Media sentiment and cross-sectional stock returns in the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 60(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:irvfin:v:19:y:2019:i:4:p:707-729. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1369-412X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.