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新聞媒體的資訊內涵與橫斷面股價報酬 = The information ...

國立高雄大學金融管理學系碩士班

新聞媒體的資訊內涵與橫斷面股價報酬 = The information content of media coverage and the cross-section of stock returns

Record Type:	Language materials, printed : monographic
Paralel Title:	The information content of media coverage and the cross-section of stock returns
Author:	林建良,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	民100
Description:	54葉表格 : 30公分;
Subject:	媒體曝光程度
Subject:	media coverage
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/33984578331221282056
Notes:	參考書目：葉45-48
Summary:	本文藉由台灣新聞媒體的報導則數將公司股票區分其媒體曝光程度，以探討不同曝光程度之新聞媒體的資訊內涵與橫斷面股價報酬是否具有關聯性。發現有較大規模的公司、價值型及特有風險較大的公司股票有較多的新聞媒體報導，另外，高週轉率、機構投資人持股較高及有極端報酬的公司股票亦能吸引新聞媒體的關注。實證結果發現不論是在各個已知會影響橫斷面股價報酬風險因子調整下，或以公司特性及流動性作區分，皆無發現無媒體曝光程度投資組合享有較少投資者認知，而應予以補償較高預期報酬的現象。而有高度新聞媒體報導的公司股票即使持有時間長達十二個月，仍然呈現顯著的負異常報酬。因此，藉由投資人可能會對高度新聞媒體報導的公司股票過度關注之觀點，發現散戶投資人持股及異常成交量較高的公司股票呈現較低的報酬，支持過度新聞媒體報導所釋放出來的資訊內涵，容易造成投資人的過度關注，且此媒體效果對橫斷面股價報酬有負面且顯著的影響。 This paper examines the relationship between the information content of media coverage and the cross-section of stock returns by number of articles published in Taiwan news media database. We find not only that large stocks, value stocks, and high idiosyncratic volatility stocks earn more media reports, but also that stocks with high turnover, stocks with high institutional investor holding, and stocks with extreme returns are covered. Our empirical results indicate that stocks with no media coverage don’t earn higher returns than stocks with high media coverage even after controlling well-known risk factor and various firm characteristics. However, stocks with high media coverage have significant negative abnormal returns, and the effect also persists in different holding periods as long as one year. Therefore, we conjecture that significant negative abnormal returns stems from investor’s over-attention. Finally, our findings support that the excessive release of information content by media coverage brings investor’s over-attention, and the media effect has significant negative impact on the cross-section of stock returns.

新聞媒體的資訊內涵與橫斷面股價報酬 = The information content of media coverage and the cross-section of stock returns
林, 建良

新聞媒體的資訊內涵與橫斷面股價報酬 = The information content of media coverage and the cross-section of stock returns / 林建良撰 - [高雄市] : 撰者, 民100. - 54葉 ; 表格 ; 30公分.
參考書目：葉45-48.
媒體曝光程度media coverage

新聞媒體的資訊內涵與橫斷面股價報酬 = The information content of media coverage and the cross-section of stock returns
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