Publications

Journal Article

By reaching a broad population of investors, mass media can alleviate informational frictions and affect security pricing even if it does not supply genuine news.

The authors investigate this hypothesis by studying the cross-sectional relation between media coverage and expected stock returns.

The authors find that stocks with no media coverage earn higher returns than stocks with high media coverage even after controlling for well-known risk factors. These results are more pronounced among small stocks and stocks with high individual ownership, low analyst following, and high idiosyncratic volatility.

The findings suggest that the breadth of information dissemination affects stock returns.