媒体报导与中国A股市场盈余惯性--投资者有限注意的视角

Media Coverage and PEAD in China's A-share Stock Market:A Limited Attention Perspective

利用百度新闻搜索得到的媒体报导数据,本文从投资者有限注意的角度研究了财经媒体报导对中国A股市场股票盈余惯性的影响。盈余公告之后两天(不包括公告当天)的媒体报导虽然客观上已不包含任何新信息,但可引导投资者对所报导股票的注意力,影响股票的价格和交易量。首先,媒体报导加快了利好信息进入价格的速度,减小其盈余惯性;虽未显著强化利空盈余信息的短期股价反应,却稳定了市场预期,减小了盈余惯性。其次,媒体报导增强了多空双方的信念,公告后异常交易量上升。第三,媒体报导对机构投资者持股较多和公告前一个月内有分析师覆盖的股票的盈余惯性影响更大,这与美国等发达市场的结果相反。第四,媒体报导有选择性,常顺应市场的反应,对利好信息"锦上添花",对利空信息没有过多地"落井下石"。媒体报导的选择性是股票盈余惯性变化的重要因素。

Using media coverage data on two days after earnings announcements, we investigate the ＂attentiongrabbing＂ role of media coverage in China＇s A - share stock market. Though it does not supply genuine news,media coverage attracts investors＇ attention and affects stock prices and trading volume after earnings announce-ments. We find that media coverage affects PEAD of good news and that of bad news in an asymmetric way： forgood news （the group with the highest earnings surprise）, media coverage accelerates the speed of earnings infor-mation being incorporated into the stock prices; hence reduces post - earnings - announcement drift. Meanwhilefor bad news （the group with the lowest earnings surprise）, media coverage has no significant impact on the shortrun market response, but it also reduces subsequent drift by stabilizing investors＇ expectation. Unlike the US mar-kets, this effect is more pronounced for stocks with more institutional ownership and analyst coverage.