The St. Louis Cardinals tried buying their own radio station several years back and moved their games off their longtime home, CBS powerhouse KMOX. It was a dismal failure. The station, KTRS didn't have the signal or the heritage that KMOX did. While the team still is a part owner of KTRS, the games moved back to KMOX last season.
At this point, I can't see the Yankees wanting to own their own radio station. It would be too much hassle and expense with a limited revenue upside. Especially an AM signal, at a time when sports radio is making the move to FM. Add in other options to get the games, like MLB.com, XM/Sirius and other new media options, it just doesn't make sense.