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School of Business | Department of Finance | Finance | 2011
Thesis number: 12653
Media Coverage and the Cross Section of Stock Returns : Evidence from UK markets
Author: Loukusa, Päivi
Title: Media Coverage and the Cross Section of Stock Returns : Evidence from UK markets
Year: 2011  Language: eng
Department: Department of Finance
Academic subject: Finance
Index terms: rahoitus; financing; media; media; osakemarkkinat; stock markets; tuotto; rate of return
Key terms: stock markets; osakemarkkinat; media; media; newspapers; sanomalehdet
Aalto University School of Economics

Aalto University Abstract School of Economics September 22, 2011 Master’s Thesis Päivi Loukusa



The purpose of the study is first to examine, what are the determinants of company’s media coverage. Second, I show whether the stocks with no media coverage or low media coverage earn higher returns than stocks with high media coverage even after controlling for risk factors such as size or low liquidity. Last I document what the cross-sectional return differences between stocks are with and without media coverage i.e. is the media effect more pronounced in some stock groups (small stocks, value stocks, stocks with low analyst coverage).


The data of this study consists of 500 firms listed in the London Stock Exchange between 2001 and 2010, a total of 4,284 firm-year observations. The average annual number of firms is 427. For each company in my data set, I hand-collect media data by counting articles published on a given stock in each month from eight UK Broadsheets and Financial Times using LexisNexis database. Other data is from


Findings of the study show that company size, number of analysts following the company, and trading volume are the most significant determinants of media coverage. Smaller companies tend to be less covered by journalists. Past returns and book-to-market ratios doesn’t seem to have that significant impact on firm’s media coverage.

Low media coverage stocks outperform the no media and high media coverage stocks in the UK markets during the sample period. The low media premium is most prominent among small stocks and stocks with low book to market values. No media portfolio outperforms high media portfolio among highly liquid, large stocks, which have plenty analyst recommendations, but the return premium disappears after controlling risk factors.


Stock returns, alpha, expected returns, media, newspaper
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