Out of the limelight but in play: Trading and liquidity of media and off-media stocks
dc.contributor.author | Fang, H. | |
dc.contributor.author | Zhang, Huiping | |
dc.contributor.author | Qian, J. | |
dc.date.accessioned | 2017-01-30T13:39:16Z | |
dc.date.available | 2017-01-30T13:39:16Z | |
dc.date.created | 2015-10-07T04:04:42Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Fang, H. and Zhang, H. and Qian, J. 2014. Out of the limelight but in play: Trading and liquidity of media and off-media stocks. INSEAD Working Paper No. 2011/124/FIN. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/33762 | |
dc.identifier.doi | 10.2139/ssrn.1967084 | |
dc.description.abstract |
Using hand-collected TV programming data and intra-day trading from China, we compare the trading, liquidity, and returns of on-show and off-show stocks in the same sector. Our difference-in-difference analysis reveals that post-show, off-show stocks experience significant improvements in liquidity that is attributable to small trades. The pre-show return gap between the on-show and off-show stocks closes post-show, and there is no return reversal. We show that retail investors’ focus on off-show stocks could reflect a lack of media trust. Overall, our evidence suggests that media coverage facilitate price discovery and retail investors appear to respond rationally to media coverage. | |
dc.title | Out of the limelight but in play: Trading and liquidity of media and off-media stocks | |
dc.type | Working Paper | |
dcterms.source.series | Social Science Research Network | |
curtin.department | CBS International | |
curtin.accessStatus | Fulltext not available |
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