情绪波动：网络媒体情绪对股票回报的影响

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2025-04-01 DOI:10.1016/j.jbef.2025.101045

Liang Chang , Xiaojun Liang , Na Tan

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引用次数: 0

摘要

本研究使用涵盖中国a股上市公司的830多万篇网络财经媒体报道的数据集，考察了网络媒体情绪对股票回报的影响。研究结果显示，媒体对一家公司的正面评价越高，其平均月股票回报率就越高。零投资套利策略是通过买入媒体人气高的股票，卖出媒体人气低的股票来构建的，它的月溢价高达4%。这些影响对于投资者关注度较高、流动性较低的股票尤为明显。此外，即使在控制了已知的风险因素之后，或者在没有新信息发布的IPO静默期，拥有积极媒体情绪的公司仍然表现出更高的股票回报。进一步分析表明，媒体情绪可以解释约4%至12%的各种市场异常，媒体情绪溢价表现出回报逆转。本研究揭示了新兴市场媒体效应的独特机制，为行为金融学的有限注意理论提供了有力支持。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Tossed by the tides of emotion: The impact of online media sentiment on stock returns

This study examines the impact of online media sentiment on stock returns using a dataset of over 8.3 million online financial media reports covering Chinese A-share listed companies. The findings reveal that more positive media sentiment towards a company is associated with higher average monthly stock returns. A zero-investment arbitrage strategy, constructed by buying stocks with high media sentiment and selling those with low media sentiment, yields a significant monthly premium of 4%. These effects are particularly pronounced for stocks with higher investor attention and lower liquidity. Moreover, even after controlling for known risk factors or during IPO quiet periods when no new information is introduced, companies with positive media sentiment continue to exhibit higher stock returns. Further analysis shows that media sentiment can explain approximately 4% to 12% of various market anomalies, and the media sentiment premium exhibits return reversals. This research uncovers the unique mechanisms of media effects in emerging markets and provides robust support for the limited attention theory from behavioral finance.

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.