舆论影响力、有限关注与过度反应
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| Title | Opinion Leadership, Limited Attention and Overreaction
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| 作者 | 郦金梁 何诚颖 廖旦 何牧原 |
| Author | Li Jinliang,He Chengying,Liao Dan and He Muyuan |
| 作者单位 | 清华大学经济管理学院；浙江财经大学；国信证券博士后工作站 |
| Organization | Tsinghua University; Zhejiang University of Finance & Economics;GUOSEN |
| 作者Email | jll@tsinghua.edu.cn；2098533681@qq.com；sas_liaodan@163.com |
| 中文关键词 | 大数据选股 两级传播理论 有限关注 过度反应 |
| Key Words | Big data stock selection; Two-step communication; Limited attention; Over reaction |
| 内容提要 | 信息传播如何影响股票价格的议题具有重要的理论价值和现实意义。本文结合Hong & Stein（1999）的模型、传播学中“两级传播理论”、行为金融学相关理论考察信息传播和投资者关注度如何共同影响股票价格，并对“百度股市通”选股数据样本进行实证分析。本文汇报以下三个主要发现。（1）“百度股市通”筛选出了在源信息发布后具有短期价格动量的热门股票；所选股票在“二次传播”日前具有超额收益和超额交易量。（2）“股票推荐”加速市场对源信息的定价过程，在推荐发布当日即实现充分定价。（3）市场在“股票推荐”发布日过度反应，次日反转；“股票推荐”与“初次传播”间隔越小，股价过度反应程度越大。综合起来，“百度股市通”产生了舆论影响力，加速了信息融入市场的过程，但是对于所推荐股票的长期价格没有影响。有限关注是媒体产生舆论影响力的一个重要基础。以往研究注重信息而忽视传播，本文弥补了这一不足，所得结论为对互联网财经媒体的监管提供理论依据。 |
| Abstract | The effect of information transmission upon stock pricing is a subject with theoretical and practical significance. Since launched on-line March 26, 2015, “Baidu Stock Pick (BSP)” had announced stock picks by applying big data analysis on every trading day. In this paper, we utilize this data sample to study the influence of information transmission and investor sentiment on stock prices by considering a revised Hong & Stein (1999) model, the “two-step communication theory”, and the theory of behavioral finance. We report three main findings. (1) The stocks picked by BSP were subjects of strong short term momentum, documented with accumulated abnormal returns and trading volume before the announcement of the picks. (2) The BSP announcement accelerated the incorporation of the original news into pricing, accomplishing full pricing within the announcement day. (3) The BSP announcement induced excessive buying in the announcement day, followed by a price reverse next day. The shorter the interval between the second information transmission and the original news, the greater the degree of overreaction induced. In general, the BSP demonstrated opinion leadership, accelerated the pricing of news, but making no impact on long term pricing. Limited attention is an important underlying foundation for BSP’s opinion leadership. The existing literature focused on the role of information but ignored the process of information transmission on stock pricing. In addition to filling this void, the results in this paper provide evidence in support of enforcing surveillance on the Internet financial media. |
| 文章编号 | WP1305 |
| 登载时间 | 2018-11-06 |
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