中国资本市场中媒体关注与股票投资回报——风险补偿还是注意力驱动?  

Media Coverage and Equity Return in China Stock Market Risk Compensation or Attention Driven

作　　者：应千伟[1] 周开国[2] 陈双双[2] 

机构地区：[1]四川大学商学院,四川成都610064 [2]中山大学岭南学院,广东广州510775

出　　处：《证券市场导报》2015年第5期33-42,共10页Securities Market Herald

基　　金：国家自然科学基金项目(71373167;71003108;71172161);四川大学中央高校基本科研业务费研究专项项目(skqy201312;2013SCU04A32);广东省人文社会科学研究重大攻关项目(11ZGXM79001);中山大学高校基本科研业务费重大项目培育项目(12wkjc07)

摘　　要：本文基于2000~2011年中国重要报纸对A股上市公司的新闻报道月度数据,重新审视了媒体关注与上市公司股票投资收益之间的关系。与Fang和Peress（2009）基于美国数据的研究不同,本文利用中国数据获得的实证结果发现高媒体关注的公司在一年内都比低媒体关注的公司都有更高的超额收益率。这表明Fang和Peress（2009）提出的媒体覆盖的＂风险补偿＂理论在中国并不成立。相反,Barber和Odean（2008）的＂注意力驱动＂理论更能够解释在中国股票市场中媒体与股票收益的关系。进一步的实证结果验证了媒体关注度较高的股票比媒体关注度较低的股票更容易引起投资者的持续关注。而投资者持续更高的关注度引致的买入压力将使得股票在一段时间内都能维持相对更高的收益率。Based on monthly data of news reports from China＇s major newspapers on the A -share listed companies in China during the period between 2000 and 2011, this paper re-examined the relationship between media coverage and stock returns. Opposite to the findings from Fang and Peress （2009） based on the U.S. market data, this paper showed that in the stock market of China, the firms with higher media coverage have higher stock returns than those with lower media coverage in the following year. The empirical results in this paper showed that ＂risk compensation＂ theory proposed by Fang and Peress （2009） does not hold in China. Instead, the ＂attention driven＂ theory suggested by Barber and Odean （2008） can better explain the relationship between media coverage and stock returns in the stock market of China. Further empirical results in this paper demonstrated in the Chinese stock market, higher degree of media coverage may cause sustained investor attention, which may drive up the buying pressure for a relatively long period of time and thus lead to higher stock returns in the following few months.

关 键 词：媒体关注 超额收益率 风险补偿 注意力驱动 

分 类 号：F830.9[经济管理—金融学]