Media Attention and the Volatility Effect

@article{Blitz2019MediaAA,
  title={Media Attention and the Volatility Effect},
  author={David C. Blitz and Rob Huisman and L. Swinkels and Pim van Vliet},
  journal={ERN: Volatility (Topic)},
  year={2019}
}
Stocks with low return volatility have high risk-adjusted returns, which might be driven by low media attention for such stocks. Using news coverage data we formally test whether the ‘attention-grabbing’ hypothesis can explain the volatility effect for a sample of international stocks over the period 2001 to 2018. A low-volatility effect is still present for stocks with high media attention. Among stocks with high volatility, the amount of media attention is not associated with different risk… Expand
Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil
Corporate Environmental Performance in China: The Moderating Effects of the Media versus the Approach of Local Governments
  • Zhiru Guo, Chao Lu
  • Medicine
  • International journal of environmental research and public health
  • 2020