Previous studies have found that the media information has a significant impact on stock returns.Based on these theory and empirical test results, this paper introduces a new measure media information index to further study whether the investment strategies based on media information index could earn excessreturns. Through constructing the investment strategies of longing low media information index stocks andshorting high media information index stocks, we find that theses strategies could earn significant profits inthe future. Moreover, these profits remain strong and stable even in a longer holding period, which further confirms the existence of "media effect".
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