文献类型：期刊文献

英文题名：News coverage and portfolio returns: Evidence from China

作者：Li, Cong-Cong[1,2];Xu, Hai-Chuan[1];Zhou, Wei-Xing[1,3]

机构：[1]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[2]Univ Int Business & Econ, Sch Banking & Finance, Beijing 100029, Peoples R China;[3]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2020

卷号：60

外文期刊名：PACIFIC-BASIN FINANCE JOURNAL

收录：;WOS:【SSCI(收录号:WOS:000527938000013)】；

基金：This work was partially supported by the National Natural Science Foundation of China (71971081, 71501072, U1811462) and the Fundamental Research Funds for the Central Universities (222201918006).

语种：英文

外文关键词：News coverage; Portfolio returns; Investors' attention; Return predictability; News momentum

摘要：We investigate the news coverage effect in explaining and predicting the portfolio returns. We find that stocks with more news coverage yield higher abnormal returns. The news coverage effect is still robust even after controlling for firm characteristics and industry sectors. Furthermore, the return premium on news coverage is particularly large in small-cap stocks due to the information dissemination role of news coverage. Then we construct a news coverage factor to explain the abnormal returns. We also confirm the predictability of news coverage. This indicates news coverage has a daily momentum effect. Finally, we propose three investment strategies and verify their profitabilities.