Media Coverage and the Cross‐section of Stock Returns
研究发现，无媒体报道的股票比高媒体报道的股票获得更高收益，且在小盘股、个人持股高、分析师关注低、特质波动高的股票中更显著，表明信息传播广度影响股票收益。
ABSTRACT 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. We investigate this hypothesis by studying the cross‐sectional relation between media coverage and expected stock returns. We 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. Our findings suggest that the breadth of information dissemination affects stock returns.