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PRESS COVERAGE AND STOCK PRICE DEVIATION FROM FUNDAMENTAL VALUE
Author(s) -
Chen ChiaWei,
Pantzalis Christos,
Park Jung Chul
Publication year - 2013
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.2013.12007.x
Subject(s) - stock (firearms) , market liquidity , stock price , media coverage , financial economics , econometrics , economics , value (mathematics) , monetary economics , business , statistics , mathematics , geography , sociology , paleontology , archaeology , series (stratigraphy) , media studies , biology
We find that excessively high levels of press coverage can significantly exaggerate stock price deviation from fundamental value. We show that being “in the news” a lot is associated with both greater liquidity and more information risk. When we examine signed mispricing, we find that the effect of abnormal press coverage is significant only for stocks with high relative valuations, consistent with the concurrent existences of media‐induced sentiment and media bias. Indeed, we uncover that the sentiment effect is attenuated when firms with low valuations receive heavy coverage in the local press.