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.

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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)
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Journal Finance Research Letters
Blitz, D.C, Huisman, R. (Rob), Swinkels, L.A.P, & van Vliet, P. (2019). Media attention and the volatility effect. Finance Research Letters. doi:10.1016/