Media Coverage and the Cross Section of Stock Returns : Evidence from UK markets

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.author Loukusa, Päivi
dc.date.accessioned 2011-11-14T11:24:15Z
dc.date.available 2011-11-14T11:24:15Z
dc.date.issued 2011
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/785
dc.description.abstract Aalto University School of Economics Aalto University Abstract School of Economics September 22, 2011 Master’s Thesis Päivi Loukusa MEDIA COVERAGE AND THE CROSS-SECTION OF STOCK RETURNS: UK EVIDENCE PURPOSE OF THE STUDY The purpose of the study is first to examine, what are the determinants of company’s media coverage. Second, I show whether the stocks with no media coverage or low media coverage earn higher returns than stocks with high media coverage even after controlling for risk factors such as size or low liquidity. Last I document what the cross-sectional return differences between stocks are with and without media coverage i.e. is the media effect more pronounced in some stock groups (small stocks, value stocks, stocks with low analyst coverage). DATA The data of this study consists of 500 firms listed in the London Stock Exchange between 2001 and 2010, a total of 4,284 firm-year observations. The average annual number of firms is 427. For each company in my data set, I hand-collect media data by counting articles published on a given stock in each month from eight UK Broadsheets and Financial Times using LexisNexis database. Other data is from RESULTS Findings of the study show that company size, number of analysts following the company, and trading volume are the most significant determinants of media coverage. Smaller companies tend to be less covered by journalists. Past returns and book-to-market ratios doesn’t seem to have that significant impact on firm’s media coverage. Low media coverage stocks outperform the no media and high media coverage stocks in the UK markets during the sample period. The low media premium is most prominent among small stocks and stocks with low book to market values. No media portfolio outperforms high media portfolio among highly liquid, large stocks, which have plenty analyst recommendations, but the return premium disappears after controlling risk factors. KEYWORDS Stock returns, alpha, expected returns, media, newspaper en
dc.format.extent
dc.language.iso en en
dc.title Media Coverage and the Cross Section of Stock Returns : Evidence from UK markets en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Economics en
dc.contributor.department Department of Finance en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword stock markets
dc.subject.keyword osakemarkkinat
dc.subject.keyword media
dc.subject.keyword media
dc.subject.keyword newspapers
dc.subject.keyword sanomalehdet
dc.identifier.urn URN:NBN:fi:aalto-201111181697
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon media
dc.subject.helecon media
dc.subject.helecon osakemarkkinat
dc.subject.helecon stock markets
dc.subject.helecon tuotto
dc.subject.helecon rate of return
dc.ethesisid 12653
dc.date.dateaccepted 2011-10-06
dc.location P1 I


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