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Media Coverage and Sustainable Stock Returns: Evidence from China

Author

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  • Tian Yang

    (School of Overseas Education, Sichuan University, Chengdu 610065, China)

  • Jinsong Liu

    (School of Economics and Management, Tsinghua University, Beijing 100084, China)

  • Qianwei Ying

    (Business School, Sichuan University, Chengdu 610065, China)

  • Tahir Yousaf

    (Business School, Sichuan University, Chengdu 610065, China)

Abstract

This paper explores the relationship between media coverage and stock returns using monthly data of news reports from major Chinese newspapers. We find that firms with higher media coverage in the current month have higher sustainable stock returns in the following months over a one-year period compared with those with lower media coverage, which means that media coverage has a more significant and positive influence on sustainable stock returns in the markets, dominated by individual/immature investors. These results are largely robust to various robustness checks. Further empirical results demonstrate that in the Chinese stock market, a higher level of media coverage might cause higher sustained investor attention, which may drive up the buying pressure and thus lead to higher sustainable stock returns in the following year. Our results show that the effect of media coverage on stock returns depends on the characteristics of investors.

Suggested Citation

  • Tian Yang & Jinsong Liu & Qianwei Ying & Tahir Yousaf, 2019. "Media Coverage and Sustainable Stock Returns: Evidence from China," Sustainability, MDPI, vol. 11(8), pages 1-18, April.
    • Handle: RePEc:gam:jsusta:v:11:y:2019:i:8:p:2335-:d:223999
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    2. Yao-Tsung Wu & Chien-Hung Liu & Kuo-Hao Lin & Dun-Yao Ke, 2024. "Does media coverage matter for the performance of technical trading strategies? Evidence from Taiwan," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 147-166, January.
    3. Paritosh Chandra Sinha, 2024. "Noise of Investors’ Attention Mania in the Twenty-first-Century Indian Stock Markets: ARDL and Augmented GARCH-X Models," Global Business Review, International Management Institute, vol. 25(5), pages 1171-1221, October.
    4. Qingjie Zhou & Panpan Zhu & You Wu & Yinpeng Zhang, 2022. "Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention," Sustainability, MDPI, vol. 14(21), pages 1-20, November.
    5. Jung-Bin Su, 2020. "The Implementation of Asset Allocation Approaches: Theory and Evidence," Sustainability, MDPI, vol. 12(17), pages 1-28, September.

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