同行媒体报道发布与投资者异质性

IF 2.1 Q2 BUSINESS, FINANCE
Jiaxin Duan, Yixin (Lucy) Wei, Lei Lu
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引用次数: 0

摘要

本研究旨在研究机构和散户投资者对行业领导者(同行公司)新闻的反应行为,并确定其对同一行业内其他公司(焦点公司)股价的影响。本研究考察了同行新闻对2010 - 2019年沪深两市a股上市公司投资者行为的影响。行业领袖的媒体报道来自中国著名的在线金融机构和中国财经日报。应用支持向量机识别文章中的正面、中性和负面新闻。本研究采用事件研究法和逻辑回归法来考察同行新闻对焦点公司投资者行为的影响。研究结果表明,无论是关于领导者的好消息还是坏消息,都会导致同行的股价在一开始上涨,但在一个季度内就会出现逆转。进一步分析发现,当领导者股票获得正面新闻报道时,机构投资者倾向于对同行股票施加过度的异常买入压力,导致过度反应。相反,由于关注有限,散户投资者在领导人新闻发布日并不积极交易同行股票。此外,研究表明,卖空约束抑制了坏消息在股价中的反映。独创性/价值该研究强调了投资者行为的差异。当焦点公司规模较小且信息披露频率较低时,机构投资者倾向于对同行公司的新闻做出过度反应,这一发现支持了显著性理论。这与先前的框架一致,即当难以结合外部信息来源来评价重点公司时,过度反应更为明显。相比之下,由于注意力理论的限制,散户投资者在领导人新闻发布日并不积极参与同行交易。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Peers’ media coverage releases and investor heterogeneity
Purpose This study aims to examine the behaviour of institutional and retail investors in response to news about industry leaders (peer firms) and to determine its impact on the stock prices of other firms (focal firms) within the same industry. Design/methodology/approach The study investigates the impact of peer news on investor behaviour of Chinese A-shares listed on the Shanghai and Shenzhen Stock Exchanges from 2010 to 2019. The media coverage of industry leaders is sourced from prominent Chinese online financial outlets and the Chinese Financial Press. Support vector machine is applied to identify the positive, neutral and negative news within the articles. The study uses event study and logistic regression to examine the effects of peer news on focal firms’ investor behaviour. Findings The results show that both good and bad news about leaders cause peers’ stock prices to increase initially, but then reverse within one quarter. Further analysis reveals that when leaders’ shares receive positive news coverage, institutional investors tend to exert excessive abnormal buying pressure on peers’ shares, resulting in overreactions. Conversely, retail investors do not actively trade on peers on leaders’ news day due to limited attention. In addition, the study shows that short-selling constraint inhibits bad news from reflecting in the stock prices. Originality/value The study highlights differences in investor behaviour. The finding that institutional investors tend to overreact more to peer firms’ news when focal firms are smaller and have a lower frequency of information disclosure supports the salient theory. This is consistent with the previous framework that suggests overreaction is more pronounced when it is difficult to combine external sources of information to evaluate the focal firms. In contrast, retail investors do not engage in active trading on peers on leaders’ news day due to the limited attention theory.
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来源期刊
Pacific Accounting Review
Pacific Accounting Review BUSINESS, FINANCE-
CiteScore
3.80
自引率
9.50%
发文量
36
期刊介绍: Pacific Accounting Review is a quarterly journal publishing original research papers and book reviews. The journal is supported by all New Zealand Universities and has the backing of academics from many universities in the Pacific region. The journal publishes papers from both empirical and theoretical forms of research into current developments in accounting and finance and provides insight into how present practice is shaped and formed. Specific areas include but are not limited to: - Emerging Markets and Economies - Political/Social contexts - Financial Reporting - Auditing and Governance - Management Accounting.
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