Media Coverage, Investor Attention And Stock Market Performance

Asset pricing has long been a hot topic in the field of finance.Traditional economics believes that market is efficient and investors are rational.However,some market anomalies such as "earnings announcement effect" and "overconfidence" cannot be explained by traditional economic theories,therefore resulting in behavioral finance."Limited attention" is a core concept of behavioral finance,which was put forward by Kahneman in 1973.It means that people cannot fully understand all the information in the market due to the limitation of time and energy,and only analyze the information they are interested in to guide their investment behaviors and thus influence the performance of stocks.And with the development of the Internet,investors,especially individual investors can't through professional channels to obtain information,more dependent on the Internet to get information of the stock,stock web search has replaced the original variables such as extreme income,trading volume,advertising and other variables to become more direct and accurate proxy variable of investor attention.News media are increasingly playing an important role in conveying information.In particular,paper media have a strong authority.They can conduct targeted and tendentiousness reports through their agenda setting function to influence investors' emotions,then influence their investment behavior and ultimately affect stock performance.Daily data is used in this article on January 1,2011 to December 31,2018,in a research platform for data collected from CNRDS as well as the media coverage data respectively as proxy variables of investor attention and media reports.Using panel regression method,main regressions firstly study the short-term and long-term relationship between investor attention and stock return,then we combine investor attention with positive and negative reports,and finally we add interaction terms to study the relationship between them and stock returns in the short and long term.The short-term and long-term relationships between investor attention,print media reports and turnover are also studied.Again print report number is replaced by print and online media report number,continuing to use the regression models for further analysis.Finally,Heterogeneity is studied according to the shareholding ratio of institutional investors.The main conclusions of this paper are as follows : 1.The relationship between investor attention,print media reports and stock returns:(1)investor attention have a significant positive impact on stock returns on the day,but then reverse;(2)for print media,positive reports have a significant positive impact on stock returns on the same day,but then reverse;Negative reports have a significant continuous negative impact on stock returns.(3)positive reports and investor attention have significant mutual promotion effect on stock returns on that day,while negative reports and investor attention have mutual restriction effect on stock returns on that day.The coefficient of investor attention is significantly stronger than positive reports,negative reports and interaction terms.2.The relationship between investor attention,print media reports and stock turnover:(1)investor attention,the total amount of print media have a significant continuous positive impact on the stock turnover;(2)the combined total amount of print media reports and investor attention have a significant and continuous mutual promotion effect on the stock turnover;Taking into account the combined reports of print media and online media for further analysis,the conclusions are as follows: 1.The relationship between investor attention,aggregate reports and stock returns:(1)positive reports after adding the sum have significant continuous positive impact on stock returns,while negative reports after adding the sum have significant continuous negative impact on stocks;(2)After adding the sum,positive reports and investor attention had a significant continuous interaction effect on stock returns,while negative reports after adding up and investor attention restrict each other on the continuity of stock returns.2.For the relationship between investor attention,aggregate reports and stock turnover,the same conclusions as print media.Conclusions of the heterogeneity study are as follows:(1)the shareholding ratio of institutional investors has no significant effect on the impact of investor attention on stock returns or the impact of positive reports on stock returns.The lower the shareholding ratio of institutional investors,the greater the impact of negative reports on stock returns;(2)the lower the shareholding ratio of institutional investors,the more obvious the promotion effect of investor attention and positive reports on stock returns.The proportion of shares held by institutional investors has little influence on the degree to which negative reports and investor attention restrict stock returns.In this paper,media reports and investor attention involved in less research are combined to study the relationship between them on stock returns and turnover.At the same time,the media reports are divided into positive and negative for short-term and long-term research.In addition,daily data,rather than weekly or even monthly data,are used in the selection of time,which reflects the rationality of timeliness.This article help the government and the relevant market regulators fully realize that the news media's influence on the stock market,media "agenda setting",properly guide rational investment behavior;and for individual investors,Understanding the phenomenon of investor attention can guide their investment behavior and help them to establish a scientific system for the selection and allocation of risk assets.