Manipulated Information Dissemination and Risk-Adjusted Momentum Return in the Chinese Stock Market

Abstract

We study the manipulated information dissemination and risk-adjusted momentum return in the Chinese stock market. In this paper, we employ excess media coverage as a proxy for manipulated information dissemination. The raw momentum returns are negative across all degrees of manipulated information dissemination, but turn into significantly positive after controlling for risks. These outcomes hint that the manipulations of information dissemination contribute to price instabilities, so raw momentum returns are negative but turn into positive owing to risk adjustments. Moreover, we also discover that the stocks with high manipulated information dissemination exhibit big size characteristic and resist market risk well.