增发配股、媒体关注度与资产误定价

SEO,Media Effects and Asset Mispricing

本文提出一个简易的模型，据以就媒体关注度对资产误定价的影响机理加以探究。首先，提出均衡报道量的概念，讨论媒体关注度降低误定价程度的作用机制。其次，基于误定价的媒体关注效应模型，提出三个媒体关注度效应假设，即媒体报道量越大，股票价格越有可能被高估；越偏离均衡报道量，股票价格偏离其内在价值程度越大；增发或配股当年，股票价格被高估的可能性更大。最后，通过对增发配股公司的实证分析，证实了上述媒体关注度效应假设。本文的结论丰富了媒体关注度对资本市场的影响和第三方监督作用的理论，并且对完善相关监管政策也具有重要的借鉴意义。

Asset mispricing has been defined as the twin brother of ＂the equity premium puzzle＂, the generation mechanism of media effects on which is not clear yet. This article suggests a simple model, to fill this gap. Firstly, this model puts forward the definition of equilibrium media coverage, and discusses how media coverage reduces mispricing magnitude. Secondly, based on the model, this article discovers the media effects on asset mispricing： the more media attention, the higher probability of stock overvaluation; as the media coverage di- verges from the equilibrium amount of media coverage, the stock price diverges from its in trinsic value as well; on the year of SEO or share allotment, the probability of stock overvalu ation is higher. Finally, empirical results support above hypotheses. This article not only en riches media and financial market theories, but also helps governance departments to under- stand asset misprieing in more aspects.