The PR Premium

Smadar Siev

Journal of Behavioral Finance, 2014, vol. 15, issue 1, 43-55

Abstract: Press releases (PR) are the most common and popular way for a firm to publicize its news. The annual number of PR varies substantially among firms, from just a few to hundreds. This work documents a gap in stock's returns between firms that publish low and high number of PR per annum in favor of the former. This gap was found for both the year of publication and the following one and its magnitude is 7–8% and 5–6%, respectively. This gap remains intact even after controlling for firm characteristics such as beta, market capitalization and more. I call this gap the “PR Premium.”

Date: 2014
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DOI: 10.1080/15427560.2014.878133

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