| 什么导致了股票收益的“媒体效应”:预期关注还是未预期关注?; What drives the stock market "media coverage effect" :Expected media attention or unexpected media attention? | |
| 王建新 ; 饶育蕾 ; 彭叠峰 | |
| 2015-01-25 | |
| 关键词 | 媒体效应 关注度分解 异质信念 投机性关注 股票收益 media coverage effect decomposition heterogeneous belief speculative attention stock returns |
| 英文摘要 | 本文借助百度新闻搜索引擎获取上市公司的网络新闻数据,利用中国A股市场2003年到2010年的股票收益数据进行检验,实证结果支持fAng等所发现的“媒体效应“.为了揭示媒体关注度定价效应的内在机理,本文对媒体关注度进行分解,发现股票收益的“媒体效应“主要来自于媒体关注度的未预期部分,而未预期关注度的定价效应很大程度上可以由MIllEr的“基于卖空约束的异质信念“假说以及本文所提出的“投机性关注“假说所解释.; This paper takes advantage of the Baidu News search engine to extract data of internet news about public companies.We test the determination of the cross-section of expected stock returns in Chinese A-share market from 2003 to 2010,and the empirical results turn out to be consistent with Fang etc.To unveil the intrinsic mechanism of "media coverage effect",we decompose media attentions into expected portion and unexpected portion.The result suggests that the "media coverage effect" of stock return mainly contributed by the unanticipated part,yet the pricing effect of the unexpected attention can be explained by "heterogeneity investors opinions based on short-sales constraints" by Miller,and,likewise,the "speculative attention" hypothesis in this paper.; 国家自然科学基金(71372063;71301169;71071166);国家自然科学基金创新群体项目(71221061) |
| 语种 | zh_CN |
| 内容类型 | 期刊论文 |
| 源URL | [http://dspace.xmu.edu.cn/handle/2288/103382]  |
| 专题 | 管理学院－已发表论文 |
| 推荐引用方式 GB/T 7714 | 王建新,饶育蕾,彭叠峰. 什么导致了股票收益的“媒体效应”:预期关注还是未预期关注?, What drives the stock market "media coverage effect" :Expected media attention or unexpected media attention?[J],2015. |
| APA | 王建新,饶育蕾,&彭叠峰.(2015).什么导致了股票收益的“媒体效应”:预期关注还是未预期关注?.. |
| MLA | 王建新,et al."什么导致了股票收益的“媒体效应”:预期关注还是未预期关注?".(2015). |
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