Publication Type

Journal Article

Version

publishedVersion

Publication Date

1-2013

Abstract

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 can be attributed to the limited attention theory and cannot be arbitraged due to investors’ self-attribution and short-sale constraints. Our research points out the importance of blogs in information dissemination, especially for the stocks with limited attention.

Keywords

blog, expected return, limited attention, self-attribution, short-sale constraints, word of mouth communication

Discipline

Computer Sciences | Finance and Financial Management | Technology and Innovation

Research Areas

Information Systems and Management

Publication

Journal of Accounting, Auditing and Finance

Volume

28

Issue

1

First Page

4

Last Page

19

ISSN

0148-558X

Identifier

10.1177/0148558X12459606

Publisher

SAGE

Additional URL

http://doi.org/10.1177/0148558X12459606

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