Out of the limelight but in play: Trading and liquidity of media and off-media stocks
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...
| Main Authors: | , , |
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| Format: | Working Paper |
| Published: |
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/33762 |
| _version_ | 1848754036683046912 |
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| author | Fang, H. Zhang, Huiping Qian, J. |
| author_facet | Fang, H. Zhang, Huiping Qian, J. |
| author_sort | Fang, H. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T08:34:02Z |
| format | Working Paper |
| id | curtin-20.500.11937-33762 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:34:02Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-337622017-09-13T15:32:48Z Out of the limelight but in play: Trading and liquidity of media and off-media stocks Fang, H. Zhang, Huiping Qian, J. 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. 2014 Working Paper http://hdl.handle.net/20.500.11937/33762 10.2139/ssrn.1967084 restricted |
| spellingShingle | Fang, H. Zhang, Huiping Qian, J. Out of the limelight but in play: Trading and liquidity of media and off-media stocks |
| title | Out of the limelight but in play: Trading and liquidity of media and off-media stocks |
| title_full | Out of the limelight but in play: Trading and liquidity of media and off-media stocks |
| title_fullStr | Out of the limelight but in play: Trading and liquidity of media and off-media stocks |
| title_full_unstemmed | Out of the limelight but in play: Trading and liquidity of media and off-media stocks |
| title_short | Out of the limelight but in play: Trading and liquidity of media and off-media stocks |
| title_sort | out of the limelight but in play: trading and liquidity of media and off-media stocks |
| url | http://hdl.handle.net/20.500.11937/33762 |