The Long-Run Role of the Media: Evidence from Initial Public Offerings
利用美国IPO严格静默期规则，研究发现上市前媒体覆盖（不含硬信息）与股票长期价值、流动性、分析师覆盖和机构持股正相关，与预期收益负相关，支持投资者关注假说。
The unique characteristics of the U.S. initial public offering (IPO) process, particularly the strict quiet period regulations, allow us to explore the effects of media coverage when the coverage does not contain genuine news (i.e., hard information that was previously unknown). We show that a simple, objective measure of pre-IPO media coverage is positively related to the stock's long-term value, liquidity, analyst coverage, and institutional investor ownership. Our results are robust to additional controls for size, to using abnormal or excess media, and to an instrumental variable approach. We also find that pre-IPO media coverage is negatively related to future expected returns, measured by the implied cost of capital. In all, we find a long-term role for media coverage, consistent with Merton's attention or investor recognition hypothesis. This paper was accepted by Brad Barber, finance.