Pacific-Basin Finance Journal Available online 5 April 2017

媒体报道对投资者交易行为和股票收益率的影响

作者：Chen-Hui Wu (National Chung Cheng University), Chan-Jane Lin (National Taiwan University)

摘要：投资者认知假说认为，当投资者是通过大众媒体认知一个公司的时候，这将帮助增加公司的投资人群体并引起股票价格的变动。采用对台湾上市公司媒体报道的综合数据库，这篇文章对新闻内容运用了文本分析法，将新闻内容划分为十个类别。其中七个新闻分类可以被认定为传达了一种积极或者消极的论调，剩余三个是新闻公告。实验结果显示投资者交易行为不仅受新闻数量的影响，而且也受新闻质量的影响。不同类型的投资者对新闻报道的基调有不同的反应。外国机构投资者的交易行为与媒体报道的基调是一致的。结果在考虑了公司风险，特征和投资者不可观测的私人信息之后仍是稳健的。除此之外，本篇文章划分的正面或负面新闻报道中的大多数与超额收益率的符号显著相关。

The impact of media coverage on investor trading behavior and stock returns

Chen-Hui Wu(National Chung Cheng University, Taiwan, ROC), Chan-Jane Lin(National Taiwan University, Taiwan, ROC)

ABSTRACT

The investor recognition hypothesis suggests that, when a firm is recognized by investors through the mass media, this helps to increase the firm's investor base and causes reactions in stock prices. Using a comprehensive database of media coverage on Taiwanese listed firms, this paper applies textual analysis to the news content and classifies it into ten news categories. Among them, seven news categories can be identified as conveying a positive or negative tone and the remaining three are news announcements. The empirical results show that investor trading behavior is affected not only by the quantity, but also the quality, of news announcements. Different types of investors have different responses to the tone of media coverage. The trading behavior of foreign institutional investors is consistent with the tone of media coverage. The results are robust after accounting for the effect of several firm risks, characteristics and investors' unobservable private information. In addition, the majority of the positive or negative media coverage classified in this paper is significantly related to the same sign of abnormal returns.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17301877

翻译：阙江静