少即是多:来自股票市场对微信推荐的经验证据  

Less is more:Evidence from the market reaction to stock recommendations on WeChat

作　　者：沈德华 于鑫蕾 张维[2] SHEN Dehua;YU Xinlei;ZHANG Wei(School of Finance,Nankai University,Tianjin 300350,China;College of Management and Economics,Tianjin University,Tianjin 300072,China)

机构地区：[1]南开大学金融学院,天津300350 [2]天津大学管理与经济学部,天津300072

出　　处：《系统工程理论与实践》2023年第3期706-724,共19页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金重大项目(71790594);国家自然科学基金面上项目(72071141)。

摘　　要：本文以微信作为社交媒体代表,应用事件研究法分析了2012年-2018年民间财经公众号发布的股票推荐文章对中国股票市场的影响,结果发现:1)股票在文章发布当天的异常收益显著为正,随即迅速跌落至负值,相应的累计异常收益反转表现支持了价格压力假说.2)股票被不同文章重复报道次数越多,异常收益越高.3)股票的报道内容字数越少,异常收益越高.另外,公众号对股票的报道次数和报道内容字数越多,表明媒体对该股票的关注越高,然而本文在观察两种分组下的市场表现差异中发现报道次数增多会增强投资者关注,而报道内容字数减少才会增强投资者关注,一定程度上说明投资者关注而非媒体关注才是引发市场异常收益的直接原因,为投资者有限注意提供了经验证据.Regarding WeChat as the representative of social media,we examine the Chinese stock market reaction to stock recommendations issued on the folk WeChat account from 2012 to 2018 with the method of event study.The empirical results show:1)There exists a significantly positive abnormal return on the days when recommendations are released,but it starts to drop at once,becoming negative ultimately.The cumulative abnormal return reverses completely within the event period,which plunks for price pressure hypothesis(PPH).2)After dividing the total sample into two subgroups according to the reports number of stocks,we find the more stocks are reported,the stronger market response there will be.3)Repeating the similar work according to the article words number,we surprisingly find the less words number stocks have,the greater market reaction there will be.Besides,more reports and article words indicate more media attention.However,based on the different performances of two subcategories,we conclude that only more reports number but less article words can enhance investor attention,which to some extent proves that it is not media attention but investor attention that directly causes the abnormal market performance,meanwhile providing empirical evidence for the limited investor attention.

关 键 词：股票推荐 投资者关注 微信 价格压力假说 价格反转 

分 类 号：F832.48[经济管理—金融学]