股票收益的媒体效应:风险补偿还是过度关注弱势

发布时间：2018-01-13 19:32

本文关键词：股票收益的媒体效应:风险补偿还是过度关注弱势　出处：《金融研究》2011年08期 　论文类型：期刊论文

【摘要】：本文以富豪榜上榜事件为研究对象,探讨了媒体关注度高的股票的收益反而低于关注度低的股票这一"媒体效应"的产生原因,通过实证研究检验了基于传统金融理论的"风险补偿假说"和基于行为金融理论的"过度关注弱势假说"。研究结果显示,被报道股票在事件期内产生了负的超额收益,而通过倾向得分匹配算法构建的控制组股票超额收益并不显著,说明"风险补偿假说"不成立,"媒体效应"的来源并不是低关注股票的正收益。事件期内被关注股票的交易量显著放大,并且日历时间组合方法在事件日前得到了显著的正收益,在事件日后则转为显著的负收益,基本符合"过度关注弱势假说"。
[Abstract]:Taking the events on the rich list as the research object, this paper discusses the causes of the "media effect" of the stock with high media attention but lower than that of the one with low attention. Through empirical research, we test the "risk compensation hypothesis" based on the traditional financial theory and the "excessive concern for the weak" hypothesis based on the behavioral finance theory. The results show that the risk compensation hypothesis is based on the traditional financial theory. The reported stocks have negative excess returns during the event period, but the control group constructed by the tendency score matching algorithm is not significant, which indicates that the "risk compensation hypothesis" is not valid. The source of "media effect" is not the positive return of stock with low attention. The transaction volume of the concerned stock is significantly enlarged during the event period, and the calendar time combination method obtains a significant positive return before the event date. After the event turned to a significant negative return, basically in line with the "excessive concern for the weak hypothesis."
【作者单位】：西安交通大学管理学院;
【基金】：国家自然科学基金项目“基于控制权动态配置的投融资双方激励相容机制设计:可转债融资契约视角”(项目编号:70972101)的资助
【分类号】：F224;F832.51
【正文快照】： 一、引言自从胡润1999年创立胡润百富榜后，各类富豪榜层出不穷，每年榜单揭晓都引发广泛关注，使之成为重要的财经新闻事件。在我国富有“藏富”传统的商业土壤中，富豪榜的揭晓与新闻媒体的推波助澜将原本不为人知的富豪们推到聚光灯下，，也因此使其身后的企业获得了前所未

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