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Media Coverage and Stock Returns: Evidence from Chinese Cross-Listed Firms

Chen Wang (), Rong Ding, Wenxuan Hou and Edward Lee
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Chen Wang: Xi’an Jiaotong-Liverpool University
Edward Lee: The University of Manchester

Chapter 9 in Experiences and Challenges in the Development of the Chinese Capital Market, 2015, pp 171-196 from Palgrave Macmillan

Abstract: Abstract The media, such as newspapers and TV broadcasting, serves as an important outlet for disseminating information to the general public. Because information covered in the media could be obtained from other sources, such information is regarded as “stale information” (Tetlock, 2008) or “second-hand information” (Davies and Canes, 1978). According to the semi-strong form of the Efficient Market Hypothesis (Fama, 1970, 1991), the stock price should immediately reflect all publicly available information, implying that the information provided by the media should have little effect on stock prices. However, recent studies show that the news covered by the media does have an impact on stock returns (Tetlock, 2007, 2008; Tetlock et al., 2008; Fang and Peress, 2009).

Keywords: Stock Market; Stock Price; Stock Return; Mutual Fund; Media Coverage (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1057/9781137454638_9

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