媒体报道、信息发现与市场有效性

发布时间：2018-03-01 09:46

本文关键词： 媒体报道注意力信息发现市场有效性新《环境保护法》　出处：《中国注册会计师》2017年03期 　论文类型：期刊论文

【摘要】：本文以沪深两市重污染行业上市公司为研究对象,运用事件研究法发现,新《环境保护法》(以下简称"新法")实施给样本上市公司带来-20%的累计异常收益,股价下跌主要发生在"新法"实施前30个交易日至实施当日。"新法"实施是历史公开信息,为什么还能引发强烈的市场反应呢?注意力假说认为,新闻媒体关于"新法"的报道引起了投资者的注意力,注意力驱动引发股价下跌;信息发现假说认为,"新法"颁布至"新法"实施的空白期间是投资者信息发现的过程,如果公司基本面信息透明或者良好,则缓解注意力驱动的股价下跌。回归分析支持注意力假说和信息发现假说。
[Abstract]:In this paper, the listed companies of heavy pollution industries in Shanghai and Shenzhen stock markets are taken as the research objects, and it is found that the implementation of the New Environmental Protection Law (hereinafter referred to as "the New Law") brings a cumulative abnormal return of -20% to the listed companies in the sample. Share price falls mainly occurred 30 trading days before the implementation of the "new law" to the implementation of the day. "the implementation of the" new law "is historical public information, why can cause a strong market reaction? The attention hypothesis holds that news media reports on the new law have attracted the attention of investors, and attention has driven the stock price down; The information discovery hypothesis holds that the blank period between the promulgation of the new law and the implementation of the new law is the process of investor information discovery, if the company's fundamental information is transparent or good, Regression analysis supports the attention hypothesis and the information discovery hypothesis.
【作者单位】：合肥工业大学工业信息与经济研究中心;
【基金】：国家自然科学基金项目(J1424015) 安徽省教育厅人文社会科学研究项目(JS2014AJRW0096)
【分类号】：D922.68;F832.51

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