Abnormal Media Information May Have No Benefit for Stock Returns

This paper applies the residual attention model to test the relationship between abnormal media information and stock returns with a special sample,in order to provide investors with some guides to make decisions.We find that relative to stocks with low abnormal media information,those stocks with high abnormal media information will have lower returns in the next month.The "media effect" exists in Chinese stock market.A long-short equity strategy can earn excess returns even after controlling well-known risk factors.The result is robust.Furthermore,our findings suggest that the excess return from "media effect" is due to the significantly low returns of high abnormal media information stocks.We believe that the explanation of this asymmetry phenomenon is possibly the stock price's overreaction to media coverage caused by investor sentiment,which yields lower expected returns.