Media attention and the volatility effect

David Blitz, Rob Huisman, Laurens Swinkels and Pim van Vliet

Finance Research Letters, 2020, vol. 36, issue C

Abstract: Stocks with low return volatility have high risk-adjusted returns, which might be driven by low media attention for such stocks. Using news coverage data we formally test whether the ‘attention-grabbing’ hypothesis can explain the volatility effect for a sample of international stocks over the period 2001 to 2018. A low-volatility effect is still present for stocks with high media attention. Among stocks with high volatility, the amount of media attention is not associated with different risk-adjusted returns. Based on these findings, we reject the hypothesis that media attention is the driving force behind the volatility effect.

Keywords: Alpha; Attention; Big data; Investing; Media; News; Volatility (search for similar items in EconPapers)
JEL-codes: G11 G12 L82 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s154461231930409x

DOI: 10.1016/j.frl.2019.101317

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