The media industry has remarkably been growing in recent years. Since advertising is the main source of revenues for firms in this industry, this paper investigates whether the data on Nielsen advertising spending reportshelp predict returns of media stocks listed on the Stock Exchange of Thailand. We employ the data published by Advertising Association of Thailand, which are publicly availableon a monthly basis, more frequently than the availability of typicalThai firms’ financial reports. The regression results reveal that year-on-year growth as well as surprised Nielsenaggregate advertising spending predict significantly higher returns of firms in the media industry in the following month, but there is no evidence for predictability immediately orwithin the same week of the report announcements. In addition, we document that only the advertising spending on TV and traditional media sectors can predict returns.
Media, Advertising Spending, Return Predictability