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Does media coverage matter for the performance of technical trading strategies? Evidence from Taiwan
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Orientador(es)
Resumo(s)
Motivated by the idea that “coverage by mass media can play a role in alleviating
information problems even if it does not break genuine news” (Fang and Peress,
2009: 2050), this study is first to relate media coverage to performing moving av erage (MA) technical trading in the cross-section. Testing a sample of Taiwanese
listed stocks over the period 1996 to 2021, we find that the MA strategy’s profitabil ity is high (low) for portfolios grouped by stocks with low (high) media coverage.
For the “low-media-coverage” portfolio, the MA strategy earns about 24.75% per
annum, adjusting for the Fama–French five risk factors. The MA’s superior perfor mance on the “low-media-coverage” portfolio remains after controlling for market
liquidity and market sentiment. We also find that the low media effect on the MA
strategy’s profitability is more pronounced during recessionary periods. Our overall
results are supported by the hypothesis that a low level of media coverage induces
investor inattention and slows information diffusion, which amplifies the investors’
under reaction bias and stronger price continuation, being associated with a higher
MA strategy’s profitability
Descrição
Palavras-chave
Media Coverage Moving average Investor attention Price continuation
Contexto Educativo
Citação
Wu, Yao-Tsung ... [et al.] (2024). "Does media coverage matter for the performance of technical trading strategies? Evidence from Taiwan". Portuguese Economic Journal, 23(1):147-166
Editora
Springer