repackaging information into news items, the media reduce the cost of collecting and certifying relevant information, and therefore can have significant impact on financial markets. In an early paper, Niederhoffer(1971)observes large price movements following world event headlines; the market appears to overreact to bad news. Mitchell and Mulherin(1994)document a weak relationship between the amount of publicly reported information, approximated by the number of daily dow Jones news stories, and the aggregate trading activity and the price movements in securities markets. Antweiler and frank(2004a)find statistically significant return momentum for many days after the news is made public and a bigger and more prolonged impact of average news on returns during a recession than during an expansion. Chan (2003)shows stocks with large price movements, but no identifiable news, show reversal in the next month and prices are slow to reflect bad public news Alternatively, Merton(1987)argued that investors will buy and hold only those securities which they are aware of. The most common way to facilitate investors' awareness is to promote the visibility of the firm through media. Falkenstein(1996) documents that mutual funds avoid stocks with low media exposure. Barber and Odean(2003)provide direct evidence that individual investors tend to buy stocks that are in the news. Antweiler and Frank(2004b) and Wysocki (1999) find that the volume of stock messages posted on internet stock message boards predicts subsequent stock returns and market volatility Tetlock(2003) provides evidence that media coverage affects market index returns and aggregate trading volume. Huberman and Regev(2001)document that old news repackaged as new news can also affect returns. Antunovich and Sarkar(2003) find that stocks with higher media exposure have bigger liquidity gains and lower excess returns on the pick day. Chen, Noronha, and Singal(2002) show that media exposure increases following additions to the s&P 500 index, and price changes around S&P 500 index additions are consistent with greater investor awareness of the added stocks A literature focusing on the relation between media and IPO firms has already started to emerge Examining the post-offer performance of a sample of IPOs, Loughran and Marietta-Westberg(2002) find that investors over-react to positive-return news events and under-react to negative news events. Johnson and Marietta-Westberg(2004) show that the increase in idiosyncratic volatility for IPO firms over time is6 repackaging information into news items, the media reduce the cost of collecting and certifying relevant information, and therefore can have significant impact on financial markets. In an early paper, Niederhoffer (1971) observes large price movements following world event headlines; the market appears to overreact to bad news. Mitchell and Mulherin (1994) document a weak relationship between the amount of publicly reported information, approximated by the number of daily Dow Jones news stories, and the aggregate trading activity and the price movements in securities markets. Antweiler and Frank (2004a) find statistically significant return momentum for many days after the news is made public and a bigger and more prolonged impact of average news on returns during a recession than during an expansion. Chan (2003) shows stocks with large price movements, but no identifiable news, show reversal in the next month, and prices are slow to reflect bad public news. Alternatively, Merton (1987) argued that investors will buy and hold only those securities which they are aware of. The most common way to facilitate investors’ awareness is to promote the visibility of the firm through media. Falkenstein (1996) documents that mutual funds avoid stocks with low media exposure. Barber and Odean (2003) provide direct evidence that individual investors tend to buy stocks that are in the news. Antweiler and Frank (2004b) and Wysocki (1999) find that the volume of stock messages posted on internet stock message boards predicts subsequent stock returns and market volatility. Tetlock (2003) provides evidence that media coverage affects market index returns and aggregate trading volume. Huberman and Regev (2001) document that old news repackaged as new news can also affect returns. Antunovich and Sarkar (2003) find that stocks with higher media exposure have bigger liquidity gains and lower excess returns on the pick day. Chen, Noronha, and Singal (2002) show that media exposure increases following additions to the S&P 500 index, and price changes around S&P 500 index additions are consistent with greater investor awareness of the added stocks. A literature focusing on the relation between media and IPO firms has already started to emerge. Examining the post-offer performance of a sample of IPOs, Loughran and Marietta-Westberg (2002) find that investors over-react to positive-return news events and under-react to negative news events. Johnson and Marietta-Westberg (2004) show that the increase in idiosyncratic volatility for IPO firms over time is