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美國股價波動對新聞的反應Response of US stock price fluctuations to news

時間:2019-05-15 13:18來源:未知 作者:anne 點擊:
Abstract摘要 本研究以美國股市為研究對象,了解美國股市對新聞的過度反應和反應不足。研究結果表明,具有較大影響力的新聞媒體、二級新聞和大公司新聞對股票價格的影響較大,更容易引起
Abstract摘要
本研究以美國股市為研究對象,了解美國股市對新聞的過度反應和反應不足。研究結果表明,具有較大影響力的新聞媒體、二級新聞和大公司新聞對股票價格的影響較大,更容易引起股票市場價格的過度反應。原因是投資者更容易相信這類消息。投資者更愿意根據消息做出投資決策,從而在短期內導致股價反應過度。股票價格的過度反應可能在短時間內給投資者帶來巨大的回報和巨大的損失。為保護投資者利益,證券市場監管機構和新聞媒體應當對新聞報道進行監測和評價,最大限度地保證新聞報道的真實性、全面性和客觀性,對重大事件進行評價。從投資者的角度來看,投資者可以根據結論做出投資決策,獲得異常收益。
This research report took the US stock market as a research object to understand the overreaction and underreaction of the US stock market towards news. The research results showed that the news from a news media with great influence, secondary news and news from big companies have greater influence on the stock prices and were more likely to cause an overreaction of the prices of the stock market. The reason was that it was easier for investors to trust these types of news. Investors were more willing to make investment decisions according to the news, thereby resulting in an overreaction of stock prices in a short term. Overreaction of stock prices may bring investors vast rewards and vast losses within a short period of time. To protect the interests of investors, stock market regulatory agencies and news media should monitor and evaluate news coverage to ensure the authenticity, comprehensiveness and objectivity of news, as well as evaluation on major events to a largest extent. From an investor's perspective, investors can be based on the conclusions to make investment decisions to acquire abnormal returns.
Introduction介紹
1970年,尤金·法瑪提出了有效市場假說。這一假設強調了信息對股票價格的影響。本研究認為,為了提高證券業務的有效性,根本問題是解決證券價格形成過程中信息披露、信息傳遞、信息解讀和信息反饋等各個方面出現的問題(Dyck、Volchkova和Zingales,2008)。影響股價的因素很多,新聞是影響股價的重要信息來源。然而,值得注意的是,股價對新聞的反應有兩種:過度反應和反應不足。過度反應是指投資者對新信息的反應過于強烈而無法采取積極的投資行為,從而導致股價的過度波動。漲跌過大會使股票價格偏離均衡價格。反應不足意味著投資者低估了最近獲得的信息,處于保守狀態。這個小組對一些信息并不熱心,甚至沒有反應。考慮到股票市場原本有利于投機的消息,當它被宣布時,市場沒有反應,或者反應較少。對過度反應或反應不足現象的研究有助于解釋股票市場在信息傳播、信息披露等方面的特點和問題,也有助于投資者根據新聞類型做出正確的投資決策。本研究報告以美國股市為研究對象,了解美國股市對新聞的過度反應和反應不足現象,試圖解釋導致這兩種現象的原因,為投資者了解美國股市的特點提供一些建議。
In 1970, Eugene Fama proposed the efficient markets hypothesis. The hypothesis emphasizes the impact of information on stock prices. This study held the opinion that to improve the effectiveness of securities business, the fundamental problem was to solve the problems appearing in all aspects of information disclosure, information transmission, information interpretation and information feedback in the of security price formation process (Dyck, Volchkova & Zingales, 2008). There are a lot of factors affecting stock prices; news is an important source of information affecting share prices. However, it is worth noting that the reaction of stock prices towards news includes two kinds: overreaction and underreaction. Overreaction refers to the phenomenon that investors have too intense response towards new information to take aggressive investment behavior, which causes excessive volatility of stock prices. Rising or falling too much will aggravate stock prices to depart from equilibrium price. Underreaction means that investors underestimate the information recently obtained and are in a conservative state. The group is lukewarm towards some information, and even has no response. Considering the news which is originally good for speculating in the stock market, when it is announced, there is no response from the market, or there is less reaction. Research on overreaction or underreaction phenomenon helps to explain the characteristics and problems of a stock market in information dissemination, information disclosure, which also helps investors to make right investment decisions depending on the types of news. This research report took the US stock market as a research object to understand the overreaction and underreaction phenomena towards news in the US stock market, it tries to explain the reasons leading to these two kinds of phenomena, so as to offer some suggestions for investors to understand the characteristics of the US stock market.
Main points
Impact of news on the US stock market 
The US stock market is one of the most mature capital markets with most funds in the world. It is inevitable for the US stock market to separate from influences of news (Mathur & Waheed, 1995). The impact of news on the US stock market is mainly reflected at three levels. Judging from an enterprise’s own point of view, Carvalho, Klagge and Moench (2011) studied the impact of news on stock prices. The authors believed that news is not entirely unbiased, since enterprises often use financial reports or corporate advertising to influence investors. If the corporate earnings information is released, the company's stock price will be positively impacted; if enterprises are facing difficulties or incidents, the corporate management will try to delay the report against them, thereby slowing the negative impact of unfavorable news on the stock prices of the companies. Considering from an industry perspective, Carvalho, Klagge and Moench (2011) analyzed how false news shock acts on the stock price of United Airlines. The research results revealed that the shock had a continuous negative effect on the levels of UAs’ stock price; and the false news shock also negatively affected stock prices of other major airline companies continuously. This indicates that the news not only impacts a particular business, but also affects the industry that the company belongs to. From an investor's perspective, Hirshleifer and Hong (2009) took US investors as an example to confirm that the transfer of news and information can affect beliefs and behaviors of investors in US stock market. It is thought that such impact is highly infectious. The authors’ analysis shows that investors’ access to information includes the conversations between investors, expression of news media, as well as observing the behavior of other investors, and therefore these kinds of information not only result in impact on an investor's investment decisions, but also affects behavior and beliefs of other investors through the investor itself. Carvalho, Klagge and Moench (2011) concluded that in most situation, relevant information, noise appear at the same time and cannot be separated easily. Many investors lack sufficient knowledge and trading skills. When investors trade by using knowledge of false news, it is easy for participants to be inflienced by misleading news .the participants are very easy to be influenced by misleading news. All in all, the impact of news on US stock market price exists objectively, but whether this effect is an overreaction or underreaction of stock prices needs to be further discussed in the following content.
Impact of different media on stock prices
Whether news about a market can be accurately reflected depends on conditions of two aspects. One is that the news can be known by the majority of investors, and the other is investors’ abilities to digest, absorb, and judge a variety of information acquired. As individual investors are at a disadvantage in terms of time, money, expertise, technology and equipment, their abilities to access information are extremely limited. Their ways are relatively simple. The investors are mainly dependent on the media, and individual investors have relatively poor abilities for information processing, judgment and digesting. This group tends to just stare at a variety of information released by news media. Once the media announces a piece of "good" news, individual investors will follow up, causing the rise of stock prices; on the contrary, once a media releases "bad" news, the investors will blindly withdraw investment, resulting in share price decline. In such a case, the news media with a wide range of audiences and high social credibility are often trusted by investors. It is easy for the news released by these media to have an impact on stock prices. Huberman and Regev (2001) mentioned such a case. EntreMed was a small pharmaceutical company listed on the NASDAQ. In December 1997, a magazine named Nature reported that the company developed a new drug for treating cancer. After disclosure of the news, share price of the company rose only slightly. A few months later, The New York Times (NYT) reported the information repeatedly on the front page on May 3, 1998. Thus the company's share price rose sharply, during two trading days, it rose from $ 12.063 to $ 52, and in the following months, it had maintained at a high level (Huberman and Regev, 2001). The report of NYT did not contain any new information, but why EntreMed's stock price has risen sharply? Why the report from Nature failed to achieve the corresponding effect? One possible explanation was that, NYT is a daily newspaper published in New York. NYT is distributed throughout the world and it has considerable influence. It is on behalf of serious publications in the United States. For a long time, it has a good credibility and authority. As what NYT reported often has a high reliability, it tends to be directly chosen as news sources by other newspapers and news agencies in the world. Moreover, compared with Nature, which is a professional magazine, NYT has a wider range of audience. Information released by it can be known by more investors. A wide range of audience and high credibility of NYT also contribute to the overreaction of stock market price towards its news reports. Although Nature is one of the most prestigious scientific journals in the world, its influence is more limited, and therefore there is underreaction of the stock price for the news reported by Nature.


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