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Media Coverage and Stock Returns: Evidence from Chinese Cross-Listed Firms

In: Experiences and Challenges in the Development of the Chinese Capital Market

Author

Listed:
  • Chen Wang

    (Xi’an Jiaotong-Liverpool University)

  • Rong Ding

    (University of Warwick)

  • Wenxuan Hou

    (University of Edinburgh)

  • Edward Lee

    (The University of Manchester)

Abstract

The media, such as newspapers and TV broadcasting, serves as an important outlet for disseminating information to the general public. Because information covered in the media could be obtained from other sources, such information is regarded as “stale information” (Tetlock, 2008) or “second-hand information” (Davies and Canes, 1978). According to the semi-strong form of the Efficient Market Hypothesis (Fama, 1970, 1991), the stock price should immediately reflect all publicly available information, implying that the information provided by the media should have little effect on stock prices. However, recent studies show that the news covered by the media does have an impact on stock returns (Tetlock, 2007, 2008; Tetlock et al., 2008; Fang and Peress, 2009).

Suggested Citation

  • Chen Wang & Rong Ding & Wenxuan Hou & Edward Lee, 2015. "Media Coverage and Stock Returns: Evidence from Chinese Cross-Listed Firms," Palgrave Macmillan Books, in: Douglas Cumming & Alessandra Guariglia & Wenxuan Hou & Edward Lee (ed.), Experiences and Challenges in the Development of the Chinese Capital Market, chapter 9, pages 171-196, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-45463-8_9
    DOI: 10.1057/9781137454638_9
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    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. Chen, Xiaoqi & Gong, Xu & Yang, Zhonghuang, 2021. "Media report favoritism and consequences: A comparison of traditional and new energy sector," Energy Economics, Elsevier, vol. 104(C).

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