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Media Makes Momentum
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 Number | Location | Available |
|---|---|---|
| RFS2712 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Oxford: Oxford University Press 2014 |
|---|---|
| Edisi | Vol. 27, Number 12, Dec. 2014 |
| Subjek | Media Overreaction Momentum attention effects investor biases |
| ISBN/ISSN | 1465-7368 |
| Klasifikasi | NONE |
| Deskripsi Fisik | p. 3467 |
| Info Detail Spesifik | The Review of Financial Studies |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |