股票价格波动的信息渠道影响研究——基于媒体报道和分析师预测的视角

文章手工收集、整理了2006-2015年中国A股上市公司的媒体报道倾向数据,实证研究了媒体报道正向倾向与分析师乐观预测偏差对上市公司负收益偏态系数的影响。研究表明,虽然媒体报道正向倾向、分析师乐观预测均分别对上市公司股价负收益偏态系数产生显著的负向影响,但是两者的交互项对股价负收益偏态系数的影响则是显著为正,即当媒体报道正面倾向与分析师乐观预测两者共同作用时,将会触发"信息过度关注偏差"机制,从而降低了上市公司股票收益。文章研究还发现,媒体报道、分析师预测和"信息过度关注偏差"机制的作用强度,在市场化程度高地区要明显大于市场化程度低地区,可能的原因是市场化程度高地区的企业更加容易被媒体报道和分析师关注,进而产生更强的关注效应。

Research on the Information Dissemination Mechanism of Stock Price Fluctuation: From the Perspective of Media Reportage and Analysts' Forecast

The media reportage and analysts' forecast are important communication channels through which information affects stock price. In the capital market of our country, with the improvement of the information disclosure mechanism and the development of financial service institutions, media reportage and analysts' forecast have become the "information bridge" among listed companies, investors and regulatory authorities. Information intermediaries, such as the media and analysts, have greatly improved the efficiency of market information dissemination, and created a good external information environment for the capital market. Existing research shows that the better the quality of information disclosure and the higher the transparency of information disclosure, the lower the risk of capital market stock price collapse. The 14th Five Year Plan and the 2035 Vision emphasizes that, we will establish an effective financial system to support the real economy and increase the proportion of direct financing. In this context, discussing the impact of media reportage and analyst forecast on stock price fluctuations, has important practical significance for fostering a stable and healthy stock market, so as to enhance the direct financing capabilities of the capital market. This paper takes the media reporting tendency, analysts' forecast data and listed companies' financial data of China's A-share listed companies from 2006 to 2015 as samples, and empirically analyzes the influence of media reporting tendency and analysts' optimistic forecast deviation on the negative earnings skewness coefficient of A-share listed companies. It is found that the positive tendency of media reportage and the optimistic forecast of analysts have a significant negative impact on the skewness coefficient of the negative return of stock prices of listed companies. That is, the higher the positive tendency of media reportage and the more optimistic the forecast of analysts are, the higher the return of stock prices of listed companies will be. However, the interaction between the positive tendency of media reportage and the optimistic forecast of analysts has a significant positive effect on the skewness coefficient of negative stock price returns, that is, the combined effect of the positive tendency of media reportage and the optimistic forecast of analysts reduces the stock returns of listed companies, and there is a mechanism of "excessive attention to information bias". This study also found that the media reportage and analysts' forecast, such as"information focusing too much on deviation" mechanism in different areas were significantly exist marketing degree, but the mechanism play the role of a high degree of marketization of the region's strength is stronger than the low degree of marketization of the region, mainly because of high degree of marketization of the region information easier to media and analysts to capture, In addition, in regions with high degree of marketization, enterprises are more inclined to disclose information through the media and analysts, resulting in stronger excessive attention.