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.

中文翻译：

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行业媒体报道和股票收益的横截面

本文研究了行业媒体报道与预期股票收益之间的横截面关系。使用异常的行业级新闻量作为行业级媒体覆盖率的代理，我们发现媒体覆盖率较低行业的股票比媒体覆盖率较高行业的股票获得显着更高的未来回报。即使在控制了众所周知的股票特征和股票特定关注的代理之后，这一发现也是稳健的。此外，由于媒体报道的侵蚀，较低行业媒体报道的回报溢价在接下来的 2 个月内持续，但随后在第三个月出现逆转。