I have the same issue with my Sony receiver, and it's a common problem. You probably got an AM loop antenna with the unit (wire wrapped around a small plastic frame with 2 twisted leads to the inputs on the receiver). The problem is that it's located too close to the receiver and other electronics that generate a lot of electrical noise that gets picked up better than the intended signals. (Digital signal processing is quite noisy!)
The simplest answer is a "long wire" antenna located away from the receiver. Something like an outdoor antenna for a shortwave receiver would be best, but that might be a bit of overkill especially if you're only trying to improve reception of local AM stations.
I am planning to stretch a wire in my attic for about 30 feet. (That length will probably do it, but cutting an antenna to match the frequency of interest is best. Unfortunately, at AM frequencies even a 1/4 wave antenna is about 400' long!) I'll feed that into the center conductor of a chunk of coax and lead that down to one input of the AM antenna jacks (only 1 is needed) and ground the coax's shield at the receiver end (it has a ground post). AM is also quite directional, so I'll have to play with the orientation of that wire for best reception, and it might be turned into a curve if that's what I need for multiple stations that I want to receive. I also need to keep it as far away as possible from other electrical noise sources including power wiring.
See this link for more on the long wire antenna and other ideas:
Modify that AM*antenna -- on hard-core-dx.com