投资者关注度与股票市场——以PM2.5概念股为例

近年来雾霾成为中国社会的热点话题,而雾霾频发导致PM2.5概念股受到投资者广泛的关注。本文结合现实环境问题,研究投资者通过对环境的关注度继而对与环境相关的股票的影响。具体而言,本文探究投资者对雾霾和PM2.5概念股的关注度对PM2.5概念股的影响。分析发现投资者对雾霾和PM2.5概念股的关注度的增加能拉升PM2.5概念股的股价。投资者对雾霾的关注度和PM2.5概念股的收益率显著正相关。关注度的增加同时也提高PM2.5概念股交易的活跃程度以及PM2.5概念股涨停的可能性。此外,本文发现正面的新闻报道会拉升PM2.5概念股的股价而负面的新闻报道会降低其股价。最后,本文通过讨论内生性和异质性等一系列稳健性检验进一步验证上述结论。

Investor Attention and the Stock Market: A New Perspective on PM2.5 Concept Stocks

Substantial empirical evidence suggests that investor attention significantly influences asset prices (Da, Engelberg and Gao, 2011). Specifically, high levels of attention can induce strong price reactions (Barber, Odean and Zhu,2008; 2009). Conversely, low levels only bring under reaction to news (Dellavigna and Pollet, 2009); furthermore, prices only react to news that investors pay attention to (Huberman and Regev, 2001). As the economy develops, air pollution is becoming a severe problem in China, attracting the attention of both government and residents. The stock market now has a special class of PM2.5 concept stocks that are highly related to the prevention of air pollution. By definition at least, some of the products or techniques of such firms reduce or prevent air pollution. PM2.5 concept stocks have become quite popular recently among both the media and investors. Moreover, the prices of these stocks rise when air pollution worsens or attention to air pollution increases. Therefore, this study investigates how PM2.5 concept stocks react to investor attention on air pollution.
To answer this question, we collect daily data on the PM2.5 concept stocks from Wind, the China Security Market and Accounting Research (CSMAR), and the China Research Data Services (CNRDS) from January 4, 2013 to March 31, 2017 totaling 42,230 observations of 41 listed firms. We further introduce stock returns and turnover rates to measure stock performance. Following the literature, we use the Baidu search volume (Baidu Index) and media coverage of air pollution as measures of investor attention on air pollution, similar to a Google index. The Baidu index of air pollution is constructed from the sum of haze and PM2.5 levels.
After controlling for additional factors that may influence the stock performance, such as market return, lagged turnover rate, and quarterly versus annual disclosure periods, we further control for time fixed effects such as year, month, and weekday fixed effects to filter out seasonal effects. Our empirical results are as follows. First, investor attention on air pollution displays a significantly positive effect on the stock returns and turnover rate of PM2.5 concept stocks. All coefficients are significant at the 5% level, using the clustered standard error at firm level. On average, a 1% increase in the Baidu air pollution index increases the related stock return by 0.496%. Second, different types of news about PM2.5 concept stocks have different effects on stock returns. Good news raises returns, whereas bad news reduces them. We further design a sequence of robustness checks to confirm the empirical results. (1) To address possible endogeneity issues, we introduce a novel instrumental variable, Beijing air quality, to investigate the causal effects of investor attention on stock performance. (2) We provide evidence that investor attention on the PM2.5 concept stocks or air pollution does not affect the price of other stocks, such as financial stocks. (3) Investor attention has a larger effect on stocks with small rather than large market value.
To sum up, the main contributions of this paper are as follows. First, we investigate investor attention on a specific class of stocks highly correlated with environmental issues; second, we introduce an instrument to address the endogeneity between investor attention and stock prices; third, we explore the heterogeneity of the effect of investor attention on stocks with different characteristics. In addition, this study also suggests that the Internet plays an important role in transforming information. The findings of this paper may assist investors to construct proper trading strategies to pursue higher profits.