overage related to the specific nature of the firm and to remove the author bias effect from news classification, if we assume this effect is firm-specific After controlling for previous abnormal returns, firm fixed effects, market trading conditions and news volumes, we find, not surprisingly, that good news increases risk-adjusted returns the next period, and bad news decreases risk-adjusted returns the next period, and so net news(good news minus bad news increases risk-adjusted returns the next period. We find, surprisingly, that the effect of net news on next period's risk-adjusted return was lower for internet IPOs, especially during the bubble period. In addition, during the post-bubble period the effect of good news matters more on next period's risk-adjusted return for internet IPOs than for non-internet IPOs. Our results are robust to whether we risk-adjust individual stocks, or whether we risk-adjust a portfolio consisting of either internet or non-internet stocks. We therefore, draw the following conclusion: though the media coverage was much more positive about internet IPOs in the bubble period and was much more negative about internet IPOs in the post-bubble period, the market somewhat discounted the media sentiment, especially during the bubble period Although there could be many other rational or irrational factors that contributed to the dramatic rise and fall of the stock market in the period 1996 through 2000, our results suggest that media sentiment, bein discounted by the market, was not a major determinant of the bubble and its crash Our paper is organized as follows. In Section II, we discuss the related literature on media and its relation with changes in stock prices. Section Ill discusses how we obtained our data. Section IV gives our results on differential media coverage of internet IPOs as opposed to a matching sample of non-internet IPOs. Section V answers whether the differential media coverage affected the difference in risk-adjusted returns between the two samples. Section VI covers various tests for robustness that we conducted Though we are tempted, we want to be cautious to draw definitive conclusions about market efficiency from our findings. This is because of the following reason. Differences in net media news(good news minus bad news) will positively affect differences in net returns between internet firms and non-internet firms if media news reflect fundamentals and the market is efficient with respect to media coverage(i.e. only media news about fundamentals moves prices), or, if media news reflect sentiment and the market is inefficient with respect to media coverage (i.e only media news about sentiment prices). On the other hand, differences in net media news will not affect differences in net returns between internet firms and non-internet firms if media news reflect sentiment and the market is efficient with respect to media news, or, if media news reflect fundamentals and the market is inefficient with respect to media ne4 coverage related to the specific nature of the firm and to remove the author bias effect from news classification, if we assume this effect is firm-specific. After controlling for previous abnormal returns, firm fixed effects, market trading conditions and news volumes, we find, not surprisingly, that good news increases risk-adjusted returns the next period, and bad news decreases risk-adjusted returns the next period, and so net news (good news minus bad news) increases risk-adjusted returns the next period. We find, surprisingly, that the effect of net news on next period’s risk-adjusted return was lower for internet IPOs, especially during the bubble period. In addition, during the post-bubble period, the effect of good news matters more on next period’s risk-adjusted return for internet IPOs than for non-internet IPOs. Our results are robust to whether we risk-adjust individual stocks, or whether we risk-adjust a portfolio consisting of either internet or non-internet stocks. We, therefore, draw the following conclusion: though the media coverage was much more positive about internet IPOs in the bubble period and was much more negative about internet IPOs in the post-bubble period, the market somewhat discounted the media sentiment, especially during the bubble period. Although there could be many other rational or irrational factors that contributed to the dramatic rise and fall of the stock market in the period 1996 through 2000, our results suggest that media sentiment, being discounted by the market, was not a major determinant of the bubble and its crash.5 Our paper is organized as follows. In Section II, we discuss the related literature on media and its relation with changes in stock prices. Section III discusses how we obtained our data. Section IV gives our results on differential media coverage of internet IPOs as opposed to a matching sample of non-internet IPOs. Section V answers whether the differential media coverage affected the difference in risk-adjusted returns between the two samples. Section VI covers various tests for robustness that we conducted, 5 Though we are tempted, we want to be cautious to draw definitive conclusions about market efficiency from our findings. This is because of the following reason. Differences in net media news (good news minus bad news) will positively affect differences in net returns between internet firms and non-internet firms if media news reflect fundamentals and the market is efficient with respect to media coverage (i.e. only media news about fundamentals moves prices), or, if media news reflect sentiment and the market is inefficient with respect to media coverage (i.e. only media news about sentiment moves prices). On the other hand, differences in net media news will not affect differences in net returns between internet firms and non-internet firms if media news reflect sentiment and the market is efficient with respect to media news, or, if media news reflect fundamentals and the market is inefficient with respect to media news