投资者信息需求与媒体报道——基于融资融券的准自然实验

The Information Demands of Investors and Media Coverage: A Quasi-natural Experiment Based on Margin Trading

财经媒体如何选择报道对象直接关乎股票定价和资源配置效率,但已有研究尚未对该问题进行讨论。文章基于2008-2018年A股上市公司分批入选融资融券标的这一准自然实验,考察了投资者信息需求改变后媒体报道的变化。研究发现,公司入选融资融券标的以后,投资者对公司的特质性信息需求显著增加,并进而引致媒体报道更多有关这些公司的新闻。这种影响既包括更多的事前挖掘,也包括更多的事后传播。进一步地,从时间维度来看,随着融资融券制度的推进,投资者信息需求对媒体报道(尤其是负面报道)的边际效应越来越小。从横截面来看,这一结果在市场化水平较高的地区和信息环境较差的公司中更为明显。最后,投资者信息需求变化带来的媒体报道能够降低股价同步性和股价崩盘风险。文章不仅有助于从投资者信息需求的视角理解媒体报道行为,而且提供了融资融券制度、影响资产定价的内在机理,对进一步优化交易制度、改善信息环境均有一定的启示意义。

With the promoting of the market-oriented reform of capital market, corporate valuation is increasingly dependent on the mining and use of information by investors themselves and intermediaries. As one of the most important information intermediaries in the capital market,media provides the investors with timely and important information. Although how the financial media choose their targets is directly related to stock pricing and resource allocation efficiency,there has been no research to discuss this issue in depth. Theoretically, the behavior mode of financial media is determined by the incentive and constraints it faces, and the “commodity”nature of news also determines that it must meet the actual needs of consumers in order to survive in the market competition. However, it is difficult to measure the information needs of investors and their dynamic changes accurately. Since some Chinese A-share listed firms were selected as the target of margin trading and securities lending in batches from 2010, This paper uses the sample of A-share from 2008-2018 to establish a quasi-natural experiment, which obtains some profound findings as below. I firms were selected as the target of margin trading, their investors’ idiosyncratic information demands, namely, the number of times of the firm was searched on the Internet, have increased significantly, leading to more media coverage of these firms. This conclusion is still valid after a series of robustness tests such as propensity score matching and random simulation. This paper also finds that investors’ information demands increase the media’s information dissemination after the firm’s incidents, and increase information collecting by the media before the incidents as well. Furthermore, the marginal effect of investors, information demands on media reports(especially negative reports) is getting smaller and smaller as time goes by. For firms located in the regions with a high degree of marketization and firms with poor information environment, the relationship mentioned above is stronger. Moreover, media coverage caused by investors’ information demands can reduce stock price synchronization and the risk of stock price collapse. In conclusion, these findings provide evidence of the causal relationship between changes in investors, information demands and media coverage, which helps to understand the media’s motivation for news production and the specific process.