经济管理学刊（中英文版）

媒体关注度对投资者异质性信念的影响 — 以中国股市为例

全文下载

作者：Fuhao Zeng

摘要：

With the rapid development of Internet media, Internet media coverage has more or less influence on investors' psychological level. This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news reports on A share listed companies in the Snowball net, and studies the relationship between media attention and investors' heterogeneous beliefs. It is found that media attention is positively correlated with investors' heterogeneous beliefs, that is, investors are more likely to choose stocks frequently reported by media. Further research finds that media reports will strengthen investors' heterogeneous beliefs, affect investors' investment behavior, and ultimately lead to the increase of stock trading volume.

关键词：Media Attention; Investor Heterogeneous Belief; Investor Behavior

参考文献：

[1]      De Bondt WFM. Betting on trends: Intuitive forecasts of financial risk and return [J]. International Journal of Forecasting, 1993(09): 355–371.

[2]      Harris, Milton, and Artur Raviv. Differences of Opinion Make a Horse Race[J]. Review of Financial Studies,1993,6(03):473-506.

[3]       Chen Guojin, Hu Chaofan, Wang Jing. Heterogeneous beliefs and Stock Returns: An Empirical Study Based on China's stock market [J]. Finance and trade economy, 2009 ((08): 26-31.

[4]      Wang Lujun, Yan pin. Heterogeneous belief and stock price [J]. Journal of Guangdong University of Finance and economics, 2014, 29 (02): 37-45.

[5]      Bamber, Linda, Smith,, Orie E. Barron and Thomas L. Stober. Differential Interpretations and Trading Volume[J]. The Journal of Financial and Quantilative Analysis,1999(34):369-386.

[6]       Zhang Pu, Chen Liang. Cash dividends and stock price volatility: An Empirical Analysis from the perspective of industry [J]. Value engineering, 2018 (20): 38-41.

[7]       Yin Haiyuan, Zhu Xu. Heterogeneous beliefs, expected evolution and stock market liquidity [J]. China management science, 2019 (10): 12-21.

[8]       Zhou Qi, You Zuowei, Liu Shancun, Han Jingti. Research on market manipulation behavior of insider traders under heterogeneous beliefs [J]. China management science, 2020, 4 (04): 1-13.

[9]      Miller, E. M.. Risk, Uncertainty, and Divergence of Opinion[J]. The Journal of Finance, 1977,32(03): 1151-1168.

[10]   Quan Xiaofeng, Wu Shinong, Wen Fang. Management power, private income and salary manipulation [J]. economic research, 2010 (11): 73-87.

[11]   Liu Feng, ye Qiang, Li Yijun. Interaction between media attention and investor attention on Stock Returns: An Empirical Study Based on Chinese financial stocks [J]. Journal of management science, 2014 (01): 72-85.

[12]   Antweiler, W. and Frank, M.Z. Is All That Talk Just Noise? The News Content of Internet Stock Message Boards[J]. Journal of Finance, 2004(59):1259-1294.

[13]   Yu Zhongbo, Tian Gaoliang, Qi Baolei. Corporate Governance Mechanism under Media Attention -- An Investigation From The Perspective of Earnings Management[J]. Management world, 2011 (09):127-140.

[14]   Du Xiuli, Lu Jingyi. Investor attention, media reports and stock price volatility: literature review and outlook [J]. Journal of Nanjing University of Finance and economics, 2018 (04): 72-79.

[15]   Bushee B. J., J. E. Core, W. Guay, and S. Hamm. The Role of the Business Press as an Information Intermediary[J]. Journal of Accounting Research,2010,48(01):1-19.

[16]   Klibanoff, P., Lamont, O. and Wizman, T. A.. Investor Reaction to Salient News in Cl osed-End Country Funds[J]. The Journal of Finance, 1998(53):673-699.

[17]   Zhong Chen, Zhang Xiaopu, Wu Xiong. Will public disclosure increase investor's heterogeneous beliefs? Take 29 listed real estate companies as an example, [J]. financial research, 2017 (05): 146-153.

[18]   Li Honghao. Quality of financial report and risk of stock price collapse: An Empirical Study Based on investors' heterogeneous belief [D]. 2017, Anhui University.

[19]   Core J. E., W. Guay, D.F. Larcker. The Power of the Pen and Executive Compensatio n[J]. Journal of Financial Economics,2008,88(01):1-25.

[20]   Luo danglun, Li Xiaoxia, Peng Wei. Media attention, political connection and stock return: Based on the empirical evidence of Listed Companies in China's gem [J]. Financial quarterly, 2016, 10 (02): 1-18.

[21]   You Jiaxing, Wu Jing. The spiral of silence: media sentiment and asset pricing [J]. Economic research, 2012,47 (07):141-152.