Media attention and the volatility effect

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-adjusted returns. Based on these findings, we reject the hypothesis that media attention is the driving force behind the volatility effect.