The Impact Of Analysts And Media Attention On Stock Idiosyncratic Volatility

Income and risk is an inseparable topic in the study of capital market,because modern portfolio theory takes the perfect capital market as the hypothetical condition and believes that investors can disperse the company’s idiosyncratic risk by holding a fully decentralized portfolio,so the expected return of stock has nothing to do with the company’s idiosyncratic risk.However,due to the existence of objective problems such as information asymmetry,transaction cost and investors’ non absolute rationality in the real capital market,the idiosyncratic risk of the company is also one of the factors affecting the expected return of stocks,which has been widely concerned by scholars in recent years.The idiosyncratic risk of a company is often measured by the idiosyncratic volatility of its stock return.The idiosyncratic volatility reflects the integration of idiosyncratic information in the company’s stock price and is closely related to the information environment of the stock market.With the reform of China’s capital market and the development of communication technology,paying attention to media reports and analysts’ rating suggestions has become an investment reference that investors attach great importance to.A large amount of media information and analysts’ views may bring new changes to the stock market.This change may be that information makes investors face lower corporate idiosyncratic risks,It may also make investors face more market noise,which makes the stock price fluctuation caused by stock characteristic information more serious.In addition,the securities analysis industry in China’s stock market started relatively late,the media first played the role of information disseminator,and securities analysts only ushered in rapid development in recent years.The impact between analysts and the new media may also play a role in regulating the volatility of the company.Therefore,as two important information media in the stock market,how the media and securities analysts affect the idiosyncratic volatility of the company’s stock is a problem worthy of study.Therefore,taking the data of all A-share listed companies from 2010 to 2020 extracted from CSMAR and Chinese Research Data Services Platform(CNRDS)as research samples,this paper constructs indicators to measure media attention and investor attention through factor analysis,Using fixed effect regression model,this paper studies the impact of media attention and analyst attention on the idiosyncratic volatility of listed companies,and tests the moderating effect of analyst attention on the impact between media attention and the idiosyncratic volatility of listed companies.The results show that the media attention is positively correlated with the volatility of stock characteristics,and the investor attention plays an intermediary role;Analysts’ attention is negatively correlated with the volatility of stock characteristics,in which the shareholding stability of securities investment funds plays an intermediary role;Analyst attention has a negative moderating effect on the impact between media attention and stock characteristic fluctuation.The research results of this paper reflect the unique information processing ability of analysts in the stock market.The tracking and attention of analysts to the company helps securities investment funds stabilize their shareholding behavior.On the one hand,it reduces the noise caused by short-term large transactions,on the other hand,it reduces the trading game between investors using capital advantages,so as to effectively reduce the characteristic fluctuation of stocks,It suppresses the driving effect of the media on the volatility of stock characteristics.To sum up,while the stock market encourages media exposure,the regulatory authorities cannot ignore the amplification effect of media on noise.The rapid development of the stock market in China needs to be encouraged and improved by the media,as well as the institutionalization of the stock market.The main contributions of this paper are as follows: first,study the impact of media and analysts’ attention behavior on stock idiosyncratic volatility,which supplements the existing literature on the influencing factors of idiosyncratic volatility;Second,multiple indicators are used to comprehensively measure media attention and investor attention.In the selection of media attention variables,some scholars choose the number of financial news,and some scholars prefer Baidu search index.In order to better meet the changes of the Internet information age,this paper selects the number of newspaper news and the number of online news to comprehensively measure the media attention of a stock,And use the network search index,the number of stock bar posts,the number of post comments and the number of reading to comprehensively measure the investor attention of a stock;Third,in addition to studying the intermediary channels through which the media and analysts act on the company’s idiosyncratic risk,this paper also studies the regulatory effect of analysts between the media and stock idiosyncratic fluctuations,which provides data support for regulators to encourage the development of professional analysts and improve the attention of the stock market to analysts.