Media Coverage and the Cross-Section of Cryptocurrency Returns

Abstract

We assess the cross-sectional relation between media coverage and cryptocurrency returns using 7.6 million news articles from a large-scale web corpus. We find that cryptocurrencies with no coverage earn higher risk-adjusted returns than those with high coverage. By decomposing coverage intensity into coverage breadth and novelty, we separate the dissemination of existing information from the arrival of new information. We show that media coverage combines two offsetting channels: breadth captures an attention-driven channel that predicts lower future returns, while novelty captures an information channel that predicts higher future returns. Our findings highlight the role of information diffusion in cryptocurrency returns.