Does media attention cause abnormal return? - Evidence from China''s stock market
媒体注意力会引起股票的异常收益吗?——来自中国股票市场的经验证据

We study the relationship between the media attention and stock monthly return.The empirical results indicate that stocks received more mass-media attention will have lower return in the following month.From Aug.2000 to Jun.2008,a long-short equity strategy based on attention yields significantly 0.46%monthly excess return after controlling for Fama-French 3-factor model.This is consistent with previous study by Fang and Peress.However,the abnormal return in our paper is due to the weak performance of high ...