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This paper investigates the cross‐sectional relation between media coverage of industry and expected stock returns. Using abnormal industry‐level news volume as a proxy for industry‐level media coverage, we find that stocks in industries with lower media coverage earn significantly higher future returns than stocks in industries with higher media coverage. This finding is robust even after controlling for well‐known stock characteristics and proxies for stock‐specific attention. Moreover, the return premium of lower industry‐level media coverage experiences continuation in the following 2 months, only to be followed by a reversal in the third month, due to the erosion of media coverage.
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Huang et al. (2021) studied this question.
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