Does Media Coverage affect Investor Attention?

Abstract

The influence of media report information on trading behavior and stock price needs to be
mediated by the change of investors' attention. However, there are few literature studies on the impact of
media reported information on investors' attention. Based on the three-year media reports, 360 search
volume index, individual stock characteristics and trading data from 11/1/2013 to 24/3/2016, this paper
analyzes this topic based on event research method and panel regression. Through the event study, we find
that: the media coverage of information does bring about an increase in investor attention, but media
coverage only accelerates and expands the dissemination of information rather than the initial source of
information; the change range and mode of investor attention are different under different media coverage
information categories. Through further panel regression, we find that: the number of media reports, the
characteristics of individual stocks, individual stocks and market trading indicators have a significant impact
on the abnormal attention of investors in the event period of media coverage; after controlling the above
variables, the amplitude of abnormal attention still has significant differences under different media
coverage information categories, and after 2015, it has significantly decreased .However, it is not affected
by the week of the event day