The Impact of Media Coverage on Publicly Listed Companies : A study of how different volumes of media coverage affect the return for publicly listed companies on the Swedish stock market 

Abstract: For decades, the role of media in the financial marketplace has been scrutinized from different perspectives and caught interest from researchers as well as the public. The aim of this study was to investigate what impact the volume of media coverage has on the return of stocks on the Swedish stock market in the long-term perspective. For this purpose, a sample was collected consisting of 52 publicly listed companies on OMX Stockholm large cap during the whole estimation period of 2013-2018. The research includes 835 157 articles from 3 412 media sources collected from Retriever database. The study follows a deductive approach and a quantitative research strategy. A regression analysis together with a portfolio analysis was used to test the relationship. The findings from the regression analysis showed that media coverage has a significant effect on stock returns. Furthermore, the portfolio analysis revealed that stocks with lower media coverage outperformed stocks with higher media coverage in five out of six years, and with 33.08% in total for the whole period. Hence, a negative relationship between media coverage and stock returns was demonstrated. The paper contributes to existing research in a number of ways. Firstly, by documenting that media coverage has a statistically significant impact on stock returns for large cap companies on OMX Stockholm. Secondly, the study can help broaden the understanding of how the exposure of companies in traditional media influences their performance on the stock market. Lastly, the paper will help to further explore relationships between media and the stock market.