| The popularization and rapid development of the Internet have brought tremendous changes to all walks of life.The dissemination of media information has changed from traditional newspapers,television,and radio to major websites and apps.In the context of the Internet,media information can quickly spread to users.In the securities market,investors’ investment decisions depend on various media information to a large extent,and media information has become an indispensable part of our country’s capital market.In recent years,many scholars have discovered through research that media reports will have an impact on the stock prices of listed companies.At present,domestic and foreign scholars’ research on media information and stock yields mostly starts from the number of media reports.However,for companies with different market capitalizations and different industries,the number of media reports they receive will vary greatly.I think media reports impact on the stock market is more from the number of abnormal media reports,that is,reports that exceed its normal level,because abnormal media attention can attract incremental investors to make investment decisions and affect stock performance.Therefore,this article will control the factors that affect the number of media reports,and study its impact on stock returns by constructing abnormal media attention.There are many factors influencing stock returns,and there may be interactions between different factors.At present,domestic scholars have less research on the interaction between media attention and other factors affecting stock returns,so this article will also study the interaction between media attention and stock market value,book-to-market value ratio,and trading volume.The first chapter of this article is the introduction,introducing the research background and significance;the second chapter is a literature review,summarizing the research status of domestic and foreign scholars in the field of media attention;the third chapter is the research hypothesis and model construction;the fourth chapter is the empirical analysis;The fifth chapter is the investment portfolio construction;the sixth chapter is the summary and suggestions.This article uses the CSI 500 constituent stocks as of the end of 2014 as a sample,takes weekly data from 2015 to 2019,uses STATA to perform regression analysis,and builds a portfolio.The research results show that:(1)Abnormal media attention will have a significant positive impact on the company’s return rate in the next week,but this impact will be reversed from the second week.(2)Circulation market value has a positive regulating effect on the relationship between abnormal media attention and stock yields,but this regulating effect has become negative in the second week,which may be due to the continued investors’ continued influence brought by the large market value.The buying behavior weakened the reversal effect of abnormal media attention on stock yields.(3)In the next week,the book-tomarket value ratio will have a negative moderating effect on the relationship between abnormal media attention and stock returns.(4)Stock trading volume has a positive regulatory effect on the relationship between abnormal media attention and stock returns.(5)Combining the previous conclusions,after constructing investment portfolios according to univariate grouping and bivariate grouping,it is found that the investment portfolio can obtain significant excess returns.The main contribution of this article is to control factors such as circulating market value,book-to-market value ratio,transaction volume,industry and location when constructing abnormal media attention indicators,and to eliminate factors that may affect media reports to build a more accurate media attention;In the study of the relationship between media attention and stock returns,the interactive items of circulating market value,book-to-market value ratio and transaction volume are added to enrich the existing research. |
PDF Full Text Request