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Media attention and the volatility effect

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  • Blitz, David
  • Huisman, Rob
  • Swinkels, Laurens
  • van Vliet, Pim

Abstract

Stocks with low return volatility have high risk-adjusted returns, which might be driven by low media attention for such stocks. Using news coverage data we formally test whether the ‘attention-grabbing’ hypothesis can explain the volatility effect for a sample of international stocks over the period 2001 to 2018. A low-volatility effect is still present for stocks with high media attention. Among stocks with high volatility, the amount of media attention is not associated with different risk-adjusted returns. Based on these findings, we reject the hypothesis that media attention is the driving force behind the volatility effect.

Suggested Citation

  • Blitz, David & Huisman, Rob & Swinkels, Laurens & van Vliet, Pim, 2020. "Media attention and the volatility effect," Finance Research Letters, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:finlet:v:36:y:2020:i:c:s154461231930409x
    DOI: 10.1016/j.frl.2019.101317
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    Cited by:

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    2. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    3. Ying Wang & Hongwei Zhang & Wang Gao & Cai Yang, 2023. "Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains," Tourism Economics, , vol. 29(2), pages 460-487, March.
    4. Bolin Lei & Yuping Song, 2024. "Volatility forecasting for stock market incorporating media reports, investors' sentiment, and attention based on MTGNN model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1706-1730, August.
    5. Malvika Saraf & Parthajit Kayal, 2022. "How Much Does Volatility Influence Stock Market Returns? – Empirical Evidence from India," Working Papers 2022-215, Madras School of Economics,Chennai,India.
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    7. Steven Buigut and Burcu Kapar, 2022. "Do COVID-19 Incidence and Government Intervention Influence Media Indices?," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 79-100.
    8. Niu, Zibo & Liu, Yuanyuan & Gao, Wang & Zhang, Hongwei, 2021. "The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China," Resources Policy, Elsevier, vol. 73(C).

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    More about this item

    Keywords

    Alpha; Attention; Big data; Investing; Media; News; Volatility;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • L82 - Industrial Organization - - Industry Studies: Services - - - Entertainment; Media

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