Media Attention and Event-Based Grouping of Stocks: An Examination of Stocks Hyped by Media Outlets as Benefiting from the Olympics
研究了五届夏季奥运会中媒体炒作受益的股票，发现这些股票在奥运周期内获得更高回报且联动性增强，但基本面并未改善，表明投资者基于奥运属性而非基本面进行交易。
We examine five summer Olympics and identify stocks that media outlets hype as benefiting from the Olympics (Olympic stocks). There is a seven-year period from the time that a country first learns it has won the Olympic bid to the start of the games (Olympic time period). We predict that the excitement of the Olympics along with the greater media attention impacts the valuation and risk of Olympic stocks. Consistent with this prediction, we show that Olympic stocks earn higher returns than their matched counterparts and comove more strongly with each other over the Olympic time period. Olympic stocks also exhibit increases in trading volume and stock volatility on days when media outlets have stories linking the firm to the Olympic Games. However, we find no evidence that the Olympic Games translate into stronger fundamentals for Olympic firms or stronger fundamental comovements. These findings suggest that investors are not purchasing the stocks based on an analysis of fundamentals, but are purchasing them based on their Olympic attribute. To confirm that event-based groupings occur in other settings, we show that comovement increases for stocks classified by the media as “stay-at-home” stocks at the start of the COVID-19 pandemic. This paper was accepted by Eric So, accounting. Supplemental Material: The online appendix is available at https://doi.org/10.1287/mnsc.2021.02218 .