Impacts Of News Attention And Investor Attention On Stock Returns

The majority of existing study only cares about the simple direct correlations when it analyses the relations between the media attention and the stock market.These studies are still not associated with investor factors, and are still not carried out from the perspective of Communication, and are still not carried out on the perspective of influence of stock market environment therefore, no consensus is reached on the influence mechanism of media attentions and investor attentions on the stock market. It will not only have the important theoretical significance, but also have very important application value for stock investors, listing corporation managers and other stakeholders to correctly understand the relations between the media attention, investor attention and the fluctuation of stock market.This study adopts the financial plate stock of China as example, collects the data of media attention and investor attention through Baidu search engine, introduces the agenda-setting theory, signal theory, search cost theory and information asymmetry theory, firstly carries out the analysis on the roles of media attention and investor attentions in the process of influence on stock return respectively, then further combines the media attention with investor attention together to analyze the2factors’ differences and interlinks when both simultaneously impose on the stock market and finally introduces the trend factors of stock market so as to reveal the in-depth relations between the2types of attentions and the stock market. The main study content of this paper include:(1) To study on the interaction of media attention and individual characteristics value in the process of influence on stock returns. On the basis of analytical model of direct relation between media attention and stock return, this paper establishes the analytical model of interaction between media attention and stock individual characteristic values, such as the market value, the trading volume or stock prices etc.It uses the search cost theory to explain the negative effect of media attention on stock returns, finds out the interactions between the media attentions and the stock individual characteristic values.It comes to the conclusions that the influences of media attentions on stock returns are adjusted by stock individual characteristics.(2) To study on the interaction of investor attention and individual characteristics value in the process of influence on stock returns. Based on the direct relation model between investor attention and stock return, this study further establishes the analytical model of interactions between the influences on stock returns of investor attention and stock individual characteristics value. The study finds that the influence degree of investor attention on stock return is evidently adjusted by stock individual characteristics. These study results enrich the relevant theory of study that the investor attention influents stock return and, at the same time, also have the certain practical significances.(3) To study on the influences of the interaction between media attention and investor attention on stock return and the differences and connection between the2types of attentions. This study innovatively establishes the conjoint analytical model of relations between media attention, investor attention and stock return. The study shows that the interaction of influences of media attention and investor attention on stock return is evident and the roles of media attention and investor attention on stock return is adverse are in opposite direction, but the influences of media attention on stock return are evidently weaker than those of investor attention on stock return.Moreover,media attention does not Granger Cause stock return,and investor attention does Granger Cause stock return.Comparing with media attention, the investor attention on stock and their behaviors of investment are the direct factors to cause the changes of stock return while the media attention greatly magnifies the influences of investor attention on stock return.(4) To analyze the influences of trend factors of stock market on the relations between media attention, investor attention and stock market. This paper introduces the virtual variables marking the fluctuation changes of stock market and establishes the analytical model closer to the actual environment of stock market.The study finds that the influence of media attention on stock return is the positive influence when the comprehensive index is falling and the negative influence when the comprehensive index is rising; the investor attention has the positive effect on the current stock return only when the stock market index is rising; but the interaction effect of media attention and investor attention has the positive influence on stock return in the first3weeks whether the comprehensive index is rising or falling.