Media-driven Comovement: Evidence from China
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发布日期:2021年12月27日 上次修订日期:2023年04月27日


In this paper, using news reports and stock trading data from China, we document that stocks covered by the same media platform tend to comove together and refer to it as media-driven comovement. This finding remains significant both by conducting time series regressions of individual stock returns on co-coverage portfolio returns and by calculating the Pearson correlations among stocks that are co-covered by the same media platform. This is a novel type of comovement since it cannot be fully explained by common factors (e.g., additions to market indices) that lead to comovement but accords well with the investment habitat view. Besides, we find no statistically significant relationship between the frequency of co-coverage and the magnitude of comovement. To better illustrate the economic significance of this media-driven comovement, we construct a trading strategy which earns a monthly return of 115 basis point.

Yi Li ; Dehua Shen ; Wei Zhang ; Media-driven Comovement: Evidence from China (2021年12月27日)

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