With the development of the media and the capital market in recent years, a new research trend emerges in the financial studies, and more and more scholars focus on the effect of media coverage on stock prices. In order to grasp the development of research related media coverage and asset pricing more, this paper systematically reviews the literature of media coverage and asset pricing at home and abroad, summarizes the analytical framework of the existing research, and comprehensively comments on the research of the effect of media coverage on asset pricing from four perspectives of information asymmetry, behavioral finance, corporate governance premium and media coverage bias. Then it proposes further research ideas and suggestions.