中国股市存在互联网媒体关注溢价吗?  

Is There an Internet Media Coverage Premium in the Chinese Stock Market?

作　　者：何枫 杜寒玉 郝晶 He Feng;Du Hanyu;Hao Jing(School of Finance,Capital University of Economics and Business,Beijing 100070,China;Business School,Nankai University,Tianjin 300071,China;School of Accounting,Capital University of Economics and Business,Beijing 100070,China)

机构地区：[1]首都经济贸易大学金融学院,北京100070 [2]南开大学商学院,天津300071 [3]首都经济贸易大学会计学院,北京100070

出　　处：《中国管理科学》2024年第10期20-29,共10页Chinese Journal of Management Science

基　　金：国家自然科学基金项目(72001156,72471157),国家自然科学基金重大项目(71790594)。

摘　　要：本文从网络新闻报道对股票市场横截面收益的影响视角,基于互联网媒体财经新闻报道,探究了互联网媒体关注溢价在中国A股市场的存在性和产生原因。研究发现,中国股市中存在互联网媒体关注溢价异象;在控制了现有定价因子后,该异象依然存在。高媒体关注度股票相较于无网络新闻的股票次月收益率更低,呈现出显著的负超额收益率。与美国市场媒体关注溢价异象不同,我国股市互联网媒体关注溢价不符合风险补偿理论,而是源于投资者过度关注后的反转效应,且正面新闻报道带来的溢价效应强于中性和负面新闻。这对我国A股市场个人投资者的理性投资有着指导意义,为数字经济时代互联网媒体在资本市场中的信息传播作用提供了实证依据,为相关政策制定和促进我国资本市场健康发展提供了参考。The factors that influence the cross-sectional stock returns is an important aspect of asset pricing research,and numerous studies have shown that the information environment of the market can have a profound effect on asset prices.Fang&Peress(2009)studied the effect of media coverage on cross-sectional stock returns and discovered a media coverage anomaly in the U.S.stock market.They find that stocks without media coverage have higher returns compared to stocks with media coverage.Will this effect also exists in the Chinese stock market?Retail investor percentage is much higher in China's stock market.Compared with institutional investors,retail investors are more susceptible to the influence of media information.With the rapid development and wide popularity of the Internet in China,digital media has gradually replace the traditional media.The online digital media has greatly reduced the cost of information acquisition and improved the information dissemination efficiency,thus profoundly changed the information environment of China's financial market.Therefore,what is the impact of the digital information environment change on China's financial market?Is there an Internet digital media coverage premium in China?Based on the cross-sectional stock returns from January 2008 to December 2019,the existence of online digital media coverage anomaly in China is explored and possible explanation is provided.Our internet media data includes financial news from more than 400 important internet media outlets.The result shows that:(1)there exists internet media coverage premium in China,and it still exists after controlling the size and book to market ratio factors;(2)Compared with the stocks without media coverage,the stocks with high media coverage have a lower cross-sectional return,which is significant negative;(3)Different from the U.S.market,the media coverage premium in China's stock market could not be explained by the risk compensation theory,but stems from the reversal effect after investors excess attention;(4)Th

关 键 词：网络新闻报道 市场异象 数字信息 媒体关注 中国A股市场 

分 类 号：F832[经济管理—金融学]