新闻情绪风险与股票收益  

News Sentiment Beta and Stock Returns

作　　者：顾洪梅[1,2] 张嫚玲 GU Hong-mei;ZHANG Man-ling

机构地区：[1]吉林大学中国国有经济研究中心 [2]吉林大学经济学院

出　　处：《中央财经大学学报》2022年第7期37-47,共11页Journal of Central University of Finance & Economics

摘　　要：风险与收益的关系一直以来是学术界关注的重点问题,媒体新闻的内容和情绪会改变投资者决策并影响股票市场,因此从新闻情绪的角度分析风险收益的关系是十分有意义的。本文采用新闻文本数据构建了新闻情绪这一指标,并利用滚动回归的方法构建新闻情绪风险指数,基于2005—2020年的中国沪深两市A股上市公司数据对新闻情绪风险和股票收益之间的关系进行研究。研究结果表明,新闻情绪风险较高的公司具有更高的市场风险和波动性,同时这些公司还具有市值较小、上市时间较短的特征;此外,新闻情绪风险较高的投资组合具有较低的超额收益,在公司规模相同的条件下依旧得到了相同的结论。由此可见,中国股票市场存在新闻情绪的低风险定价异象。Academics pay attention to the relationship between risk and return.The content and sentiment of media news change investor decisions and affect the stock market.It is of great significance to analyze the risk-return relationship from the perspective of news sentiment.Using the news data in Chinese stock market,this paper measures the individual news sentiment beta by using the method of rolling regression.We analyze the relationship between the news sentiment beta and stock returns based on the period from 2005 to 2020.The results show that:the high individual news sentiment beta stocks are smaller,younger,more volatile stocks with higher market beta.In addition,we demonstrate that stocks in the highest individual news sentiment beta portfolio have significantly lower excess returns.After controlling for firm characteristics,the returns of Low-High individual news sentiment beta portfolios are still significantly positive.Besides,the results of this paper are robust.Our conclusion finds that low risk anomaly of news sentiment exists in Chinese stock market.

关 键 词：新闻情绪 情绪贝塔 情绪风险 风险收益关系 股票市场 

分 类 号：F832.48[经济管理—金融学] F832.5