互联网媒体关注度与股票收益:认知效应还是过度关注

Internet Media Coverage and Stock Returns: Investor Recognition or Over Attention

随着信息技术的迅速发展和广泛普及,互联网媒体已深刻改变了信息的传播方式和传播速度。笔者以2014—2015年51家国内主流互联网媒体关于A股上市公司的新闻报道数据为样本,研究媒体关注度与股票收益率之间的关系。研究发现:未被媒体报道的上市公司,其股票在下一周的收益率显著高于媒体关注度高的上市公司股票,即存在媒体效应。进一步研究表明,对于分析师跟踪人数少、异质波动率高这类投资者关注度低和信息不对称程度较高的上市公司,互联网媒体对股票收益率的影响更显著;然而,对于涉及概念数量多、媒体持续报道这类投资者关注度高和信息不对称程度较低的上市公司,互联网媒体对股票收益的影响并不显著。笔者的研究结论为媒体效应的"投资者认知假说"提供了进一步的经验证据,表明新闻媒体能够提高投资者认知,降低信息风险。

With the rapid development of information technology, Internet has profoundly changed the way of information transmission and dissemination. In this paper, we chooses 51 domestic Internet news reporting about China＇s A-share listed company between 2014 and 2015, to investigate the effect of media coverage on stock returns. We discover that, stocks with higher media coverage will have lower return in the following week. The results have low investor are more pronoun attention and high ced among stocks with low analyst and high idiosyncratic volatility, which information asymmetry. However, media affect is significant in stocks with more conception and media continued reporting, which have high investor attention and low information asym- metry. These findings support the ＂investor recognition hypothesis＇ prove investor recognition and reduce information risk. showing that Internet is helpful to im-