媒体关注、资本市场错误定价与企业投资

Media Attention,Capital Market Mispricing and Corporate Investment

从信息不对称与行为金融视角考察媒体关注如何通过资本市场错误定价影响企业投资行为。基于2009年～2015年中国A股资本市场经验数据的研究发现,媒体关注在资本市场错误定价影响中同时具有信息功能与情绪功能,信息功能主要通过缓解公司股票低估来实现,而情绪功能主要通过加剧股票高估来实现。中介效应检验发现,媒体关注通过缓解股票低估显著抑制了股票低估引起的投资削减,但也会因加剧股票高估恶化股票高估引起的投资扩张。进一步研究发现,媒体关注显著降低了股票低估公司的信息不对称程度,缓解了股票低估引起的投资不足,但却渲染了股票高估公司的投资者情绪,加剧了股票高估引起的投资过度。即,媒体通过影响资本市场错误定价对企业资源配置具有治理与恶化两种相反的作用。本文的研究结论有助于了解媒体在资本市场运行中的功能和作用机制,为媒体这一金融市场中介如何服务实体经济发展提供了现实参考。

Based on the perspectives of information asymmetry and behavioral finance,the paper employs the data from Chinese A-share market to examine that media attention plays dual roles of information and sentiment in stock mispricing,but both follow different paths.Media largely plays information role in relieving the undervaluation,while it implements sentimental functions in increasing the overvaluation.The results from mediation effect tests show that media attention significantly inhibit the decreasing of investments through relieving the stock undervaluation,but significantly exacerbates the investment expansion through aggravating the stock overvaluation.Further,this paper finds that media attention reduces the level of information asymmetry of the undervalued firms,alleviating the lack of investment caused by stock undervaluation,while increases the investors’irrationality of overvalued firms,exacerbating over-investment caused by stock overvaluation.In conclusion,this paper indicates that media has both governance and exacerbation effects on the efficiency of capital allocation through capital market misvaluation.The research helps us understand the function mechanism of media in the capital market,and provides references for how media as information intermediary in financial market improve the development of real economy.