媒体信息量异常或有害股票收益

运筹与管理 ›› 2011, Vol. 20 ›› Issue (6): 157-164.

媒体信息量异常或有害股票收益

王苏生, 刘艳

哈尔滨工业大学深圳研究生院, 广东深圳 518055

收稿日期:2010-10-27 出版日期:2011-12-25
作者简介:王苏生(1969-),男,湖北洪湖人,教授,博士生导师,研究方向为金融工程、资产定价与计算实验金融;刘艳(1983-),女,辽宁大连人,博士研究生,研究方向为金融工程、资产定价与计算实验金融。
基金资助:
国家软科学研究计划项目 (2006GXQ3D120); 广东省自然科学基金资助项目(10151805707000001)

Abnormal Media Information May Have No Benefit for Stock Returns

WANG Su-sheng, LIU Yan

Shenzhen Graduate School, Harbin Institute of Technology, Shenzhen 518055, China

Received:2010-10-27 Online:2011-12-25

摘要/Abstract

摘要： 本文借助一个独特的数据样本,运用媒体对股票的剩余关注度模型,实证研究异常媒体信息量与股票收益之间的关系,以期为投资者进行投资决策提供一定的参考和指导。研究发现:异常媒体信息量越大,该股票在下一个月的平均收益率越低,存在“媒体效应”;由此所构造的零投资组合经CAPM模型、FF三因素模型和Carhart四因素模型调整后,均能获取显著的超额收益,结果具有稳健性。此外,实证结果还表明“媒体效应”所带来的超额收益源于媒体信息量异常大的股票组合的显著低收益,本文认为,这种不对称现象产生的原因可能更多的是由投资者情绪导致的股票价格对媒体报道的过度反应,并进而导致较低的期望收益。

关键词: 金融学, 剩余关注度模型, 实证研究, 异常媒体信息量, 股票收益

Abstract: This paper applies the residual attention model to test the relationship between abnormal media information and stock returns with a special sample, in order to provide investors with some guides to make decisions. We find that relative to stocks with low abnormal media information, those stocks with high abnormal media information will have lower returns in the next month. The “media effect” exists in Chinese stock market. A long-short equity strategy can earn excess returns even after controlling well-known risk factors. The result is robust. Furthermore, our findings suggest that the excess return from “media effect” is due to the significantly low returns of high abnormal media information stocks. We believe that the explanation of this asymmetry phenomenon is possibly the stock price’s overreaction to media coverage caused by investor sentiment, which yields lower expected returns.

Key words: finance, residual attention model, empirical analysis, abnormal media information, stock returns

中图分类号:

F830.91

王苏生, 刘艳. 媒体信息量异常或有害股票收益[J]. 运筹与管理, 2011, 20(6): 157-164.

WANG Su-sheng, LIU Yan. Abnormal Media Information May Have No Benefit for Stock Returns[J]. Operations Research and Management Science, 2011, 20(6): 157-164.

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