沉默的螺旋：媒体情绪与资产误定价

Spiral of Silence: Media Sentiment and the Asset Mispricing

本文借用传播学媒介效果研究中的"沉默的螺旋"理论,以金融市场上长期存在的异象——资产误定价为切入点,首次从媒体情绪的视角研究新闻媒体对金融市场运转可能存在的负面效应。通过运用文本内容分析方法,本文从报道基调、曝光程度、关注水平三个维度构建了衡量媒体情绪指数的综合评价指标体系。在此基础上,本文对媒体情绪和资产误定价二者关系展开细致考察。研究发现,当新闻报道所传递出的媒体情绪越高涨或越低落时,股票价格越有可能偏离基本价值水平。并且,当公司信息透明度越低时,媒体情绪对资产误定价的影响越显著。进一步的研究表明,媒体传递的情绪不同,其对资产误定价的影响存在不对称性,乐观的媒体情绪更容易推动价格向上偏离基本价值,导致股价泡沫产生。

This paper applies ＂the spiral of silence＂, one theory of media effect research in communication, to study the possible negative impact the media coverage may have on the financial markets. With the use of text content analysis, this paper develops a comprehensive index to measure media sentiment from three dimensions： tone, exposure and attention. On that basis, this paper makes deep research on the relationship between media sentiment and asset mispricing. The results show that high or low media sentiment is positively associated with stock misprieing. In addition, the lower transparent the listed firms arc, the more significant effects media sentiment has on stock mispricing. The further evidence indicates that the effects of the media sentiment are asymmetric. Specifically, optimistic media sentiment is more likely to push price to deviate from fundamental value and thus lead to price bubbles.