Blitz, David, et al. “Media Attention and the Volatility Effect.” (2019)

Abstract

Stocks with low return volatility have high risk-adjusted returns, which might be driven by low media attention for such stocks. Using news coverage data we formally test whether the ‘attention-grabbing’ hypothesis can explain the volatility effect for a sample of international stocks over the period 2001 to 2018. Among stocks with a similar amount of media attention, a low-volatility effect is still present. Among stocks with similar volatility, the amount of media attention is not associated with significantly different risk-adjusted returns. Based on these findings, we reject the hypothesis that media attention is the driving force behind the volatility effect.