Media, Momentum and the UK Stock Market: 1888–2021

22-23 BA/Leverhulme Small Research Grants scheme

This study uses textual analysis of Financial Times articles to examine the relationship between firms’ media coverage and their momentum effect. While Hillert, Jacobs and Müller (2014) suggest that firms particularly covered by the media exhibit significantly stronger momentum using newspaper data between 1989 to 2010, the effect of media varies with informational efficiency of markets and investor characteristics (Turner, Ye and Walker, 2018). We propose investigating the long-run relationship between media coverage and the momentum effect on the London stock market from 1888-2021. We seek to address how investors respond to news in a less information-efficient context where they tend to learn from newspapers and word-of-mouth dissemination.