媒体报道情绪、投资者解读与股票市场稳定

Media Sentiment,Investor Interpretation and Stock Market Stability

在理性预期均衡的范式下,投资者会无偏地解读盈余公告中包含的信息,其对于盈余信息的市场估值也不会受到媒体情绪的影响。然而,最近的行为金融文献指出,媒体报道的语气会影响投资者的行为,进而影响股票的市场估值。本文利用文本分析法构造媒体报道情绪指数,通过大样本的实证研究发现,媒体报道情绪显著影响投资者对于盈余信息的解读:媒体悲观度越高,公告异常收益越低;市场对坏消息的反应在媒体悲观度较高时期更加灵敏,对好消息的反应在媒体悲观度较低时期更加灵敏;媒体报道情绪对坏消息的影响比对好消息更显著,对高强度消息的影响比对低强度消息更显著。本文的政策建议是,政府应规范媒体报道中出现的过度渲染问题,同时加强对投资者的教育,减轻因媒体情绪造成的资产误定价,进而增强股票市场稳定性。

Under the paradigm of rational expectation, investors unbiasedly interpret the information contained in earnings announcements, and the market valuation of earnings information will not be affected by media sentiment. However, recent behavioral finance literatures find that the tones of media reports could affect the behaviors of investors and therefore affect the market valuation of stocks. This paper uses the text content analysis to construct the media sentiment index, which is then applied to large samples for empirical tests. We find that media sentiment significantly influences investors＇ interpretation of earnings information. The higher the media pessimism is, the lower the announcement abnormal returns are. The market＇s reaction to bad news is more sensitive during periods of high media pessimism, and its response to good news is more sensitive in periods of low media pessimism. Media sentiment has larger signicant impacts on bad news than on good news, and it has larger signicant impacts on high-intensity news than low-intensity news. The policy implication is that the government should regulate the over-rendering problems in media reports and strengthen investor education, therefore reduce the mispricing of assets caused by media sentiment and enhance the stability of the stock market.