Media Attention and the Volatility Effect

  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)},
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
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