Abstract
We investigate the news coverage effect in explaining and predicting the portfolio returns. We find that stocks with more news coverage yield higher abnormal returns. The news coverage effect is still robust even after controlling for firm characteristics and industry sectors. Furthermore, the return premium on news coverage is particularly large in small-cap stocks due to the information dissemination role of news coverage. Then we construct a news coverage factor to explain the abnormal returns. We also confirm the predictability of news coverage. This indicates news coverage has a daily momentum effect. Finally, we propose three investment strategies and verify their profitabilities.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.