注意力视角下媒体关注对公司违规后市场反应的影响

Attention:The impact of media attention on market reaction to corporate violations

降低市场波动和实现高质量发展是现阶段我国资本市场的重要任务。本文从媒体的资产定价作用出发,基于有限注意力视角,运用事件研究法,实证考察了媒体关注对公司违规后市场反应的影响,并从媒体类型和情感倾向检验了媒体关注对违规后市场反应影响的异质性。研究发现:媒体对上市公司的事前关注会显著负向影响上市公司违规后的市场反应;网络媒体和政策导向媒体的关注与上市公司违规后市场反应有着显著负相关关系,市场导向媒体的关注则无显著影响;与中性媒体关注相比,负面和正面的媒体关注将导致公司违规后更剧烈的负向市场反应。进一步研究发现,媒体关注对公司违规后市场反应的负面影响主要表现在非国有企业中。本文论证了媒体关注在资产定价的重要作用,也为充分发挥媒体作用、保护投资者权益和实现资本市场高质量发展提供了新的思路。

Reducing market volatility and achieving high-quality development are important tasks for the Chinese capital market at the present stage.Based on the asset pricing role of media,this study used the event study to empirically examine the impact,as well as the heterogeneity from type and emotional tendency,of media attention on the market reaction to corporate violations from the perspective of limited attention.The results showed that the media’s prior attention to the listed company has a significantly negative impact on the market reaction after the company’s violation.The attention of network media and policy-oriented media has a significantly negative correlation with the market reaction after the company’s violation,while market-oriented media has no significant impact.Compared with neutral media attention,negative and positive media attention trigger more severe negative market reaction after company violations.Furthermore,the negative impact of media attention on the market reaction after corporate violations is mainly manifested in non-state-owned enterprises.The results demonstrate the important role of media attention in asset pricing and have important practical significance for better playing the role of the media,protecting the rights and interests of investors and achieving high-quality development of the capital market.