Research On The Correlation Between Media Attention And Stock Returns Under The Influence Of Heterogeneous Beliefs

Since the 21 st century,the world ushered in a major change in the media industry.Internet media has quickly seized the traditional media market with its advantages of large amount of information and fast dissemination,and penetrated into all aspects of life.In the securities market,online media reports not only provide investors with a wealth of stock information,shorten the information gap between investors,but also improve transaction transparency to a certain extent.However,what cannot be ignored is that while serving the capital market,Internet media has also brought adverse effects to the market.Issues such as excess stock returns,the mystery of premiums,and scale effects have all exposed the irrational performance of the market.Moreover,these phenomena are difficult to explain with traditional financial theories.Then behavioral finance,which combines economics,psychology and sociology,came into being,trying to start from the psychological activities of investors in order to reasonably explain these phenomena with instructions.In view of the high proportion of individual investors in my country's securities market,lack of macro understanding of the market,and improper investment motives,this has led to a strong speculative atmosphere in the market,and their information processing capabilities are limited compared to institutional investors,especially in the era of big data In the event of an impact,media reports will have an irresistible impact on their investment behavior,which in turn will have an impact on the securities market and cause financial anomalies.One of the basic disciplines supporting behavioral finance-economic psychology believes that the factors that affect investor behavior are not only related to information,but also related to their psychological characteristics.Investors' complex psychological changes such as heterogeneous beliefs are always influencing Investor's decision-making behavior,so it is particularly important to study how investors' psychological characteristics affect investors' decision-making behavior to achieve stable operation of the financial market.When individual investors face irrational performance in the market,what role does the investor' s heterogeneous beliefs play?What impact will media reports have on it? And whether the existence of heterogeneous beliefs is the "invisible hand" of media reports that influence the market? these issues urgently need us to explore and resolve.Therefore,this article intends to study the influence of media reports on the market from the unique perspective of investor heterogeneous beliefs,in order to broaden the research field of behavioral finance.In order to be able to discuss the above issues more rigorously,this article first clarifies the current research status of investors' heterogeneous beliefs,media attention and stock returns by combing the existing literature,laying a foundation for further research on the relationship between the three;Secondly,based on the Tetlock rational expected utility model,a new variable is introduced—uninformed investors with heterogeneous beliefs,and a new expected utility model is constructed.After mathematical derivation and further discussion,the core hypothesis of this article is refined;Finally,using Python technology to climb the number of daily media reports of Shanghai A-shares on the website of Oriental Fortune,the transaction data from April 1,2019 to March 31,2020 are collected to build an empirical model to verify the hypothesis and stability test,and the results are consistent with the theoretical model.Through the above working steps,the problems raised in this article have been basically solved,and the research goals of this article have been achieved:(1)The heterogeneous beliefs of investors are significantly related to media reports.The higher the media's attention to a certain type of information,Will cause an increase in the level of investors' heterogeneous beliefs;(2)Media reports will influence investors' beliefs,aggravate their level of heterogeneous beliefs,and trigger investors' irrational behavior.The most direct market performance is abnormal stock trading volume climbing;(3)When investors' heterogeneous beliefs,media attention and stock returns are analyzed under the same framework,it is found that investors' heterogeneous beliefs are indeed the direct cause of media reports affecting stock returns,and the media attention magnifies investors The effect of heterogeneous beliefs on stock returns reveals the mechanism of media reports on the stock market;(4)According to the empirical results,this article provides corresponding policy recommendations to the securities market,investors,Internet media and listed companies.