媒体报道通过投资者情绪影响股票收益的传导效应研究

发布时间：2018-01-02 07:44

本文关键词：媒体报道通过投资者情绪影响股票收益的传导效应研究　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：信息不对称是证券市场的重要特征，人们投资决策所需的各种资讯很大部分是通过媒体获得的，金融媒体已成为证券市场的重要组成部分。越来越多的证据表明金融媒体能影响金融资产的价格，，与投资者利益息息相关。媒体报道无疑是通过影响投资者行为而影响资产定价的，行为金融理论认为投资者的投资行为会受到投资者注意力、信念、情绪等因素的影响，所以探讨媒体通过影响投资者进而影响资产价格的传导机制和具体过程具有十分重要的理论意义和实践指导性。首先，本文在对比分析现有文献的基础上对媒体变量进行了量化定义，通过单因素分析比较了不同媒体报道程度的股票收益之间的差异，在控制其他风险因子基础上对媒体报道影响股票横截面收益进行了实证分析，多因素分析构造了买入媒体报道程度低的股票、卖出媒体报道程度高的股票的投资组合，并采用CAPM模型、三因子模型、四因子模型和加入流动性因子模型检验了媒体效应的显著性和稳定性，基于有效市场理论和行为金融理论对媒体效应做出了解释。其次，选取换手率、交易金额增长率、买卖不均衡指标和上涨下跌平均天数比指标作为源变量，采用主成分分析构建了个股投资者情绪综合指数，实证检验了个股投资者情绪变量对横截面股票收益的影响，还分析了媒体报道因素对个股投资者情绪变量的影响，运用贝叶斯决策理论建立了理性交易者和噪声交易者基于信息的股价预期模型，在DSSW模型基础上推导了含投资者情绪的股票定价模型。最后，将媒体报道和个股投资者情绪变量共同作为自变量，股票收益作为因变量通过CAPM模型、三因子模型、加入流动因子模型进行回归分析得到了媒体报道影响股票收益的直接影响效应，在前述实证结果的基础上通过中介效应检验程序检验了个股投资者情绪的中介效应，还检验了媒体报道和投资者情绪之间的交互效应，分析了媒体报道通过投资者情绪影响股票收益的具体路径。
[Abstract]:Information asymmetry is an important feature of the securities market, a variety of information people investment decision-making requirements are mostly through the media access, financial media has become an important part of the securities market. More and more evidence that the financial media can affect the prices of financial assets, and is closely related to the interests of investors. The media is undoubtedly influenced by the behavior of investors and the impact of asset pricing, behavioral finance theory holds that investors will be investors' attention, belief, emotional impact and other factors, so the research of media through the influence of investors and affect the conduction mechanism and the specific process of asset price is of great significance and practical theory is very important.
First of all, based on the comparative analysis of existing literature on the basis of quantified definition of media variables, through single factor analysis and comparison of the differences between different media degree of stock returns, after controlling for other risk factors based on the media reports on the effects of cross-section of stock returns by empirical analysis, multi factor analysis to construct the media buying reported low levels of stock, sell the media reported a high degree of stock portfolio, and using the CAPM model, three factor model, four factor model and add liquidity factor model to test the significant media effect and stability, effective market theory and behavioral finance theory to explain the effects of the media based on.
Secondly, select the turnover rate, the transaction amount growth rate, trading balance index and the average number of days of rising falling ratio index as the source variables, construct the stock investor sentiment index using principal component analysis, an empirical analysis of the influence of stock investor sentiment variables on the cross-section of stock returns, also analyzes the influence factors on the media reports the stock investor sentiment variables, using Bayesian decision theory based on rational traders and noise traders in the stock price model based on information, based on the DSSW model is derived with investor sentiment stock pricing model.
Finally, the media reports and the stock investor sentiment variables as independent variables, the stock returns as the dependent variable by the CAPM model, three factor model, adding flow factor regression analysis model has effect of media influence directly affect the stock returns, through the intermediary effect inspectionprocedures to test the mediating effect of stock investor sentiment on the base the empirical results, examine the interaction between the media and investor sentiment, analyzes the media reports by investor sentiment affects the specific path of stock returns.

【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.91

【参考文献】