Publications

Type of Publication: Article in Journal

Media Makes Momentum

Author(s):
Alexander Hillert; Heiko Jacobs; Sebastian Müller
Title of Journal:
Review of Financial Studies
Volume:
2014
Number of Issue:
27
pages:
3467-3501
Keywords:
Momentum, media, overreaction, attention effects, investor biases
Digital Object Identifier (DOI):
doi:10.2139/ssrn.2023442
Link to complete version:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2023442
Citation:
LABEL-FOR-eidrisexport

Abstract

Abstract

Relying on 2.2 million articles from 45 national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit ceteris paribus significantly stronger momentum. The effect depends on article tone, reverses in the long-run, is more pronounced for stocks with high uncertainty, and stronger in states with high investor individualism. Our findings suggest that media coverage can exacerbate investor biases, leading return predictability to be strongest for firms in the spotlight of public attention. These results collectively lend credibility to an overreaction-based explanation for the momentum effect.