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Media Makes Momentum

Hillert, Alexander - ; Jacobs, Heiko - ; Muller, Sebastian - ;

Relying on 2.2 million articles from 45 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 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.


Ketersediaan

Call NumberLocationAvailable
RFS2712PSB lt.dasar - Pascasarjana1
PenerbitOxford: Oxford University Press 2014
EdisiVol. 27, Number 12, Dec. 2014
SubjekMedia
Overreaction
Momentum
attention effects
investor biases
ISBN/ISSN1465-7368
KlasifikasiNONE
Deskripsi Fisikp. 3467
Info Detail SpesifikThe Review of Financial Studies
Other Version/RelatedTidak tersedia versi lain
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