The Impact Of News On The Low Volatility Anomalies Of A Shares

According to traditional financial theory,in an effective stock market,investors can only obtain above-average returns if they assume above-average risks.There is a positive relationship between hidden risks and returns.However,in recent years,both in Western capital markets and emerging markets,empirical research has found that risk and reward show a negative relationship,that is,high-risk stocks will have lower returns.Because this phenomenon does not meet the expected psychology of high risk and high return,it is defined as a low volatility anomaly.The reason for the formation of low volatility anomalies,such as the famous "lottery preference" explanation,is essentially that investors believe that high volatility stocks have a higher income limit,so investors will chase high volatility stocks to achieve high excess returns.And when some kind of "arbitrage opportunity" appears,investors are often attracted and instead chase other types of future returns such as "high certainty".Does this mean that the emergence of other factors such as "arbitrage opportunities" will weaken or even eliminating low volatility anomalies? Based on this,this paper starts with the news that investors pay most attention to,and uses news heat and news sentiment(positive or negative)as the agency variables of the news to study whether the news will affect the low volatility anomaly.This paper uses the stock volatility factor value,news heat value,and news sentiment value to construct multiple portfolios for empirical research.By analyzing the performance of the portfolio,the following conclusions are obtained:(1)Whether it is in the all-A investment threshold,or the CSI 500 investment threshold with greater liquidity but small market value or the CSI 800 investment threshold with large liquidity and including large and small market capitalization stocks,after grouping stocks according to the volatility value from small to large,the return of the stock group with the small volatility value is significantly higher than the group with the large one,which means that in the three representative investment thresholds,the low volatility anomaly are significantly existence.(2)News heat or news sentiment values are not correlated with stock volatility values,and have no obvious relationship with the stock's future returns.(3)In the experimental group that controls the news heat by the control variable method,stocks in the same news heat range still have low volatility anomalies in their future returns,that is,the impact of news heat on the low volatility anomaly is very limited.(4)In the experimental group that controlled news sentiment by the control variable method,when the stock's sentiment value is not high enough,the low-volatility anomaly still exists.But for stocks with high sentiment values,the return of stock groups with low volatility is not significantly better than the return of stock groups with high volatility,that is,the low volatility anomaly,have been greatly suppressed or disappeared.(5)When the calculation parameters of the volatility factor and news sentiment are changed,the phenomenon(4)still exists significantly.From the above conclusions,it can be concluded that high news sentiment has an inhibitory effect on low volatility anomalies.The actual reason for this phenomenon can be explained as that when news sentiment is high,compared with technical volatility characteristics,investors pay more attention to the positive information behind high sentiment values.