Finance and Financial Management Commons^™

Not All That Glitters Is Gold: The Effect Of Attention And Blogs On The Investors' Investing Behaviors, Nan Hu, Yi Dong, Ling Liu, Lee J. Yao

Research Collection School Of Computing and Information Systems

This article investigates the relationship between a firm’s visibility in blogspaces, termed blog exposure, and the cross-sectional stock returns. We show that blog exposure is fundamentally different from the traditional media coverage, and securities with low blog exposure earn higher returns than stocks with high blog exposure. We further illustrate that such an effect is more prominent for stocks with low institutional ownership. Contrary to traditional media coverage, the return premium associated with blog exposure cannot be explained by either the illiquidity hypothesis or the investor recognition hypothesis based on the rational-agent framework. Instead, our results suggest that blog effect …