媒体偏见与资产价格

张维, 沈德华, 熊熊, 张永杰

系统工程理论与实践 ›› 2015, Vol. 35 ›› Issue (11) : 2749-2754.

PDF(655 KB)
中国科学院数学与系统科学研究院期刊网
PDF(655 KB)
系统工程理论与实践 ›› 2015, Vol. 35 ›› Issue (11) : 2749-2754. DOI: 10.12011/1000-6788(2015)11-2749
论文

媒体偏见与资产价格

    张维1,2, 沈德华1,2, 熊熊1,2, 张永杰1,2
作者信息 +

Media bias and asset pricing

    ZHANG Wei1,2, SHEN De-hua1,2, XIONG Xiong1,2, ZHANG Yong-jie1,2
Author information +
文章历史 +

摘要

媒体偏见能够影响资产价格吗? 媒体偏见对个体金融决策有何影响? 在这里, 利用计算实验金融的方法建立了一个具有不同比例意识偏见和构饰偏见以及不同竞争强度的模型. 媒体竞争能够影响投资者对媒体信息的依赖程度;媒体偏见和媒体竞争对资产价格都具有较大的影响, 随着媒体竞争和媒体偏见程度的增加, 个体对资产价格预期的波动逐渐减小. 媒体偏见的这种影响可由意见分歧程度和资产价格理论解释.

Abstract

Does media bias affect asset prices? And what are the corresponding consequences for the financial decision-making? In this paper, we try to answer these questions by simulating an agent-based computational model populated with agents in the scenarios of varying proportions of ideology and spin bias and changing numbers of media outlets (media competition), respectively. The model predicts that the financial decision-making on media is influential in the sense that the information environment is less competitive. The degree of the influence on asset pricing, however, depends both upon the proportion of spin bias and the media competition. The media bias effect is better explained by the theory of disagreement and asset pricing.

关键词

媒体偏见 / 资产价格 / 金融决策分析 / 计算实验金融

Key words

media bias / asset pricing / financial decision-making / agent-based computational finance

引用本文

EndNote

Ris (Procite)

Bibtex

导出引用
张维 , 沈德华 , 熊熊 , 张永杰. 媒体偏见与资产价格. 系统工程理论与实践, 2015, 35(11): 2749-2754 https://doi.org/10.12011/1000-6788(2015)11-2749
ZHANG Wei , SHEN De-hua , XIONG Xiong , ZHANG Yong-jie. Media bias and asset pricing. Systems Engineering - Theory & Practice, 2015, 35(11): 2749-2754 https://doi.org/10.12011/1000-6788(2015)11-2749
中图分类号： F830.91    N32   

参考文献

[1] Mencken H L. A gang of pecksnis[M]. Arlington House Publishers, New Rochelle, NY, 1975.
[2] Goldberg B. Bias:A CBS insider exposes how the media distort the news[M]. Regnery Pub, Washington, DC, 2002.
[3] Jamieson K H, Campbell K K. The interplay of influence[M]. Wadsworth/Thompson Learning, Belmont, CA, 2002.
[4] Gurun U G, Butler A W. Don't believe the hype:Local media slant, local advertising, and firm value[J]. Journal of Finance, 2012, 67(2):561-598.
[5] Solomon D H. Selective publicity and stock prices[J]. Journal of Finance, 2012, 67(2):599-638.
[6] Gentzkow M, Shapiro J M. Media bias and reputation[J]. Journal of Political Economy, 2006, 114(2):280-316.
[7] Huberman G, Regev T. Contagious speculation and a cure for cancer:A nonevent that made stock prices soar[J]. Journal of Finance, 2001, 56(1):387-396.
[8] Chan W S. Stock price reaction to news and no-news:Drift and reversal after headlines[J]. Journal of Financial Economics, 2003, 70(2):223-260.
[9] Tetlock P C. Giving content to investor sentiment:The role of media in the stock market[J]. Journal of Finance, 2007, 62(3):1139-1168.
[10] Chemmanur T, Yan A. Product market advertising and new equity issues[J]. Journal of Financial Economics, 2009, 92(1):40-65.
[11] Tetlock P C, Saar-Tsechansky M, Macskassy S. More than words:Quantifying language to measure firms' fundamentals[J]. Journal of Finance, 2008, 63(3):1437-1467.
[12] Bhattacharya U, Galpin N, Ray R, et al. The role of the media in the internet IPO bubble[J]. Journal of Financial and Quantitative Analysis, 2009, 44(3):657-682.
[13] Fang L, Peress J. Media coverage and the cross-section of stock returns[J]. Journal of Finance, 2009, 64(5):2023-2052.
[14] 饶育蕾,彭叠峰,成大超. 媒体注意力会引起股票的异常收益吗:来自中国股票市场的经验证据[J]. 系统工程理论与实践, 2010, 30(2):287-297.Rao Yulei, Peng Diefeng, Cheng Dachao. Does media attention cause abnormal return?:Evidence from China's stock market[J]. Systems Engineering-Theory & Practice, 2010, 30(2):287-297.
[15] Engelberg J E, Parsons C A. The causal impact of media in financial markets[J]. Journal of Finance, 2011, 66(1):67-97.
[16] 张永杰,张维,金曦,等. 互联网知道的更多么?——网络开源信息对资产定价的影响[J]. 系统工程理论与实践, 2011, 31(4):577-586.Zhang Yongjie, Zhang Wei, Jin Xi, et al. Does the Internet know more?-Open source information and asset pricing[J]. Systems Engineering-Theory & Practice, 2011, 31(4):577-586.
[17] Engelberg J E, Reed A V, Ringgenberg M C. How are shorts informed? Short sellers, news, and information processing[J]. Journal of Financial Economics, 2012(105):260-278.
[18] 俞庆进,张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J]. 金融研究, 2012(8):152-165.Yu Qingjin, Zhang Bing. Investors limited attention and stock returns:An empirical study of attention based on baidu index[J]. Journal of Financial Research, 2012(8):152-165.
[19] Zhang W, Shen D, Zhang Y, et al. Open source information, investor attention, and asset pricing[J]. Economic Modelling, 2013, 33:613-619.
[20] Zhang Y, Feng L, Jin X, et al. Internet information arrival and volatility of SME price index[J]. Physica A:Statistical Mechanics and its Applications, 2014, 399:70-74.
[21] Solomon D H, Soltes E, Sosyura D. Winners in the spotlight:Media coverage of fund holdings as a driver of flows[J]. Journal of Financial Economics, 2014, 113(1):53-72.
[22] 刘峰,叶强,李一军. 媒体关注与投资者关注对股票收益的交互作用:基于中国金融股的实证研究[J]. 管理科学学报, 2014, 17(1):72-85.Liu Feng, Ye Qiang, Li Yijun. The interaction of stock returns between media attention and investor attention:Evidence from Chinese financial stocks[J]. Journal of Management Sciences in China, 2014, 17(1):72-85.
[23] Mullainathan S, Shleifer A. Media bias[R]. SSRN Working Paper, 2002. http://www.nber.org/papers/w9295.
[24] Dyck A, Zingales L. The media and asset prices[R]. Working Paper, University of Chicago, Booth School of Business, 2003.
[25] Groseclose T, Milyo J. A measure of media bias[J]. Quarterly Journal of Economics, 2005, 120(4):1191-1237.
[26] Gentzkow M, Shapiro J M. What drives media slant? Evidence from U.S. daily newspapers[J]. Econometrica, 2010, 78(1):35-71.
[27] Reuter J, Zitzewitz E. Do ads influence editors? Advertising and bias in the financial media[J]. Quarterly Journal of Economics, 2006, 121(1):197-227.
[28] Bignon V, Miscio A. Media bias in financial newspapers:Evidence from early twentieth-century France[J]. European Review of Economic History, 2010, 14(3):383-432.
[29] De Long J B, Shleifer A, Summers L H, et al. Noise trader risk in financial markets[J]. Journal of Political Economy, 1990, 98(4):703-738.
[30] Nalebuff B J, Stiglitz J E. Information, competition, and markets[J]. American Economic Review, 1983, 73(2):278-283.
[31] Harris M, Raviv A. Differences of opinion make a horse race[J]. Review of Financial Studies, 1993, 6(3):473-506.
[32] Shalen C. Volume, volatility, and the dispersion of beliefs[J]. Review of Financial Studies, 1993, 6(2):405-434.
[33] Zapatero F. Effects of financial innovations on market volatility when beliefs are heterogeneous[J]. Journal of Economic Dynamics and Control, 1998, 22(4):597-626.
[34] Kandel E, Pearson N D. Differential interpretation of public signals and trade in speculative markets[J]. Journal of Political Economy, 1995, 103(4):831-872.
[35] Carlin B I, Longstaff F A, Matoba K. Disagreement and asset prices[J]. Journal of Financial Economics, 2014, 114(2):226-238.

基金

国家自然科学基金(71271145,71320107003,71271144)
PDF(655 KB)

558

Accesses

0

Citation

Detail
段落导航
相关文章

/

〈 〉