本文關(guān)鍵詞：媒體報(bào)道通過投資者情緒影響股票收益的傳導(dǎo)效應(yīng)研究　出處：《哈爾濱工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 媒體報(bào)道 投資者情緒 股票收益 傳導(dǎo)效應(yīng)

【摘要】：信息不對(duì)稱是證券市場(chǎng)的重要特征，人們投資決策所需的各種資訊很大部分是通過媒體獲得的，金融媒體已成為證券市場(chǎng)的重要組成部分。越來越多的證據(jù)表明金融媒體能影響金融資產(chǎn)的價(jià)格，，與投資者利益息息相關(guān)。媒體報(bào)道無疑是通過影響投資者行為而影響資產(chǎn)定價(jià)的，行為金融理論認(rèn)為投資者的投資行為會(huì)受到投資者注意力、信念、情緒等因素的影響，所以探討媒體通過影響投資者進(jìn)而影響資產(chǎn)價(jià)格的傳導(dǎo)機(jī)制和具體過程具有十分重要的理論意義和實(shí)踐指導(dǎo)性。 首先，本文在對(duì)比分析現(xiàn)有文獻(xiàn)的基礎(chǔ)上對(duì)媒體變量進(jìn)行了量化定義，通過單因素分析比較了不同媒體報(bào)道程度的股票收益之間的差異，在控制其他風(fēng)險(xiǎn)因子基礎(chǔ)上對(duì)媒體報(bào)道影響股票橫截面收益進(jìn)行了實(shí)證分析，多因素分析構(gòu)造了買入媒體報(bào)道程度低的股票、賣出媒體報(bào)道程度高的股票的投資組合，并采用CAPM模型、三因子模型、四因子模型和加入流動(dòng)性因子模型檢驗(yàn)了媒體效應(yīng)的顯著性和穩(wěn)定性，基于有效市場(chǎng)理論和行為金融理論對(duì)媒體效應(yīng)做出了解釋。 其次，選取換手率、交易金額增長(zhǎng)率、買賣不均衡指標(biāo)和上漲下跌平均天數(shù)比指標(biāo)作為源變量，采用主成分分析構(gòu)建了個(gè)股投資者情緒綜合指數(shù)，實(shí)證檢驗(yàn)了個(gè)股投資者情緒變量對(duì)橫截面股票收益的影響，還分析了媒體報(bào)道因素對(duì)個(gè)股投資者情緒變量的影響，運(yùn)用貝葉斯決策理論建立了理性交易者和噪聲交易者基于信息的股價(jià)預(yù)期模型，在DSSW模型基礎(chǔ)上推導(dǎo)了含投資者情緒的股票定價(jià)模型。 最后，將媒體報(bào)道和個(gè)股投資者情緒變量共同作為自變量，股票收益作為因變量通過CAPM模型、三因子模型、加入流動(dòng)因子模型進(jìn)行回歸分析得到了媒體報(bào)道影響股票收益的直接影響效應(yīng)，在前述實(shí)證結(jié)果的基礎(chǔ)上通過中介效應(yīng)檢驗(yàn)程序檢驗(yàn)了個(gè)股投資者情緒的中介效應(yīng)，還檢驗(yàn)了媒體報(bào)道和投資者情緒之間的交互效應(yīng)，分析了媒體報(bào)道通過投資者情緒影響股票收益的具體路徑。
[Abstract]:Information asymmetry is an important feature of the securities market, a variety of information people investment decision-making requirements are mostly through the media access, financial media has become an important part of the securities market. More and more evidence that the financial media can affect the prices of financial assets, and is closely related to the interests of investors. The media is undoubtedly influenced by the behavior of investors and the impact of asset pricing, behavioral finance theory holds that investors will be investors' attention, belief, emotional impact and other factors, so the research of media through the influence of investors and affect the conduction mechanism and the specific process of asset price is of great significance and practical theory is very important.
First of all, based on the comparative analysis of existing literature on the basis of quantified definition of media variables, through single factor analysis and comparison of the differences between different media degree of stock returns, after controlling for other risk factors based on the media reports on the effects of cross-section of stock returns by empirical analysis, multi factor analysis to construct the media buying reported low levels of stock, sell the media reported a high degree of stock portfolio, and using the CAPM model, three factor model, four factor model and add liquidity factor model to test the significant media effect and stability, effective market theory and behavioral finance theory to explain the effects of the media based on.
Secondly, select the turnover rate, the transaction amount growth rate, trading balance index and the average number of days of rising falling ratio index as the source variables, construct the stock investor sentiment index using principal component analysis, an empirical analysis of the influence of stock investor sentiment variables on the cross-section of stock returns, also analyzes the influence factors on the media reports the stock investor sentiment variables, using Bayesian decision theory based on rational traders and noise traders in the stock price model based on information, based on the DSSW model is derived with investor sentiment stock pricing model.
Finally, the media reports and the stock investor sentiment variables as independent variables, the stock returns as the dependent variable by the CAPM model, three factor model, adding flow factor regression analysis model has effect of media influence directly affect the stock returns, through the intermediary effect inspectionprocedures to test the mediating effect of stock investor sentiment on the base the empirical results, examine the interaction between the media and investor sentiment, analyzes the media reports by investor sentiment affects the specific path of stock returns.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F830.91

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