We argue that media slant constitutes a source of ambiguity and show that the uncertainty stemming from slanted news is priced in the cross section of US stocks. Our identification of slanted news stocks is based on a combination of a news proxy using Wikipedia page view data and mutual fund managers' aggregated portfolio positions. We find that slanted news stocks earn a premium of roughly 1% in announcement months over their unslanted peers, which peaks on the announcement day itself. Our results further show that the premium is compensating for the exposure to a slanted news mimicking factor.
Marcel Müller
Postdoctoral Researcher
My current research is focused on empirical asset pricing, asset management, and decentralized finance.