Published in:INSEAD Working Paper ; No. 2011/124/FIN
Extent:
1 Online-Ressource (38 p)
Language:
English
DOI:
10.2139/ssrn.1967084
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 8, 2014 erstellt
Description:
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