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.

Additional Metadata
Keywords Alpha, Attention, Big data, Investing, Media, News, Volatility.
JEL Portfolio Choice; Investment Decisions (jel G11), Asset Pricing (jel G12), Entertainment; Media (Performing Arts, Visual Arts, Broadcasting, Publishing, etc.) (jel L82)
Persistent URL hdl.handle.net/1765/120091
Journal Finance Research Letters
Citation
Blitz, D.C, Huisman, Rob, Swinkels, L.A.P, & van Vliet, P. (2019). Media attention and the volatility effect. Finance Research Letters, forthcomin. Retrieved from http://hdl.handle.net/1765/120091