Research On The Relationship Between Media Attention And Institutional Shareholding

With the accelerated process of reform and innovation of Internet media in China,the Internet media has gradually penetrated into various fields of economic society.It not only changes the way of information transmission,but also makes full use of its own characteristics.In the capital market,investors always rely on a variety of information to make investment decisions and those information are mostly accessible through the Internet media.As a medium of communication for investors and listed companies,the media has become an important part of the securities market.In recent years,some scholars have confirmed that media reports change the investor's perception and influence their investment decisions,resulting in changes in the price of the securities.As individual investors accounted for the main part in China's capital market,of which irrational investors accounted for a high proportion,cooperate with the existence of the phenomenon of speculation of stock price through the media coverage,leading individual investors' irrational behavior is also reasonable.This paper will expand the research area by examining whether the media's influence on individual stocks will affect the behavior of institutional investors.The article focuses on the relationship between media attention and institutional investment holdings.This paper first compiles the quarterly data of the media reports of the sample companies in the fourth quarter of 2010 to the first quarter of 2010 in the Baidu news search platform,and uses the residual estimation method to build the abnormal media attention index for each quarter of each company.Secondly,using of intermediary effect method to establish three models to test whether institutional investors as a rational investor will use the media attention to earn excess returns.On the basis of this assumption,this paper grouped the direction of institutional investors' shareholding changes,and further studies how the institutional investors use the media attention to trade stocks.At the end of the article,we verify the relationship between the media attention and the excess return to verify whether the investment strategy of the institutional investors can take excess returns by using the media attention strategy.The results show that institutional investors using the media attention to obtain excess returns,and by taking the strategy of buying the stock with low media attention,and selling the stock with high media attention.Although the abnormal media attention and excess earnings are positively correlated,but this excess return will disappear in the short term,so the selling in time can get excess returns.Thisresult is consistent with the "over-concern" hypothesis.The article combines the media attention and the institutional investors' investment behavior,and enriches the literature research in this field.