Media content for Value and Growth stocks

We find evidence that news content relative to value and growth stocks
impact the upcoming returns of those stocks using a measure of relative
media performance. Looking at value and growth portfolios we find that
an increase in good news related to one portfolio relative to the other
predicts an increase in its return after controlling for the market. This
result provides evidence that investors like to simplify their method of
portfolio allocation or that given the dichotomy between those stocks they
prefer to compare them one with another instead of comparing them to
market fundamentals. The results are economically significant as about
5% of monthly returns are explained with our relative media performance
index.