What Do Ads Buy? Daily Coverage of Listed Companies on the Italian Press

We match data on the daily newspaper coverage of a sample of Italian listed companies with Nielsen
data on the monthly amount of advertising that a given company has purchased on a given newspaper.
Controlling for newspaper and company fixed effects, we show that newspaper coverage of a given
company is positively related with the amount of ads purchased on that newspaper by that company.
We also find that coverage of a company is higher the day after a press release, but especially so on
newspapers where more ads are purchased. This result on press releases is robust to controlling for
ownership links between newspapers and companies, and –more generally- controlling for time
invariant features of each company-newspaper pair, i.e. for (company × newspaper) fixed effects.
Moreover, coverage is correlated with past day absolute return and trading volume, and this
relationship appears to be steeper for those newspapers where more ads are purchased.