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美国股价波动对新闻的反应Response of US stock price fluctuations to news

时间:2019-05-15 13:18来源:未知 作者:anne 点击:
Abstract摘要
本研究以美国股市为研究对象,了解美国股市对新闻的过度反应和反应不足。研究结果表明,具有较大影响力的新闻媒体、二级新闻和大公司新闻对股票价格的影响较大,更容易引起股票市场价格的过度反应。原因是投资者更容易相信这类消息。投资者更愿意根据消息做出投资决策,从而在短期内导致股价反应过度。股票价格的过度反应可能在短时间内给投资者带来巨大的回报和巨大的损失。为保护投资者利益,证券市场监管机构和新闻媒体应当对新闻报道进行监测和评价,最大限度地保证新闻报道的真实性、全面性和客观性,对重大事件进行评价。从投资者的角度来看,投资者可以根据结论做出投资决策,获得异常收益。
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介绍
1970年,尤金·法玛提出了有效市场假说。这一假设强调了信息对股票价格的影响。本研究认为,为了提高证券业务的有效性,根本问题是解决证券价格形成过程中信息披露、信息传递、信息解读和信息反馈等各个方面出现的问题(Dyck、Volchkova和Zingales,2008)。影响股价的因素很多,新闻是影响股价的重要信息来源。然而,值得注意的是,股价对新闻的反应有两种:过度反应和反应不足。过度反应是指投资者对新信息的反应过于强烈而无法采取积极的投资行为,从而导致股价的过度波动。涨跌过大会使股票价格偏离均衡价格。反应不足意味着投资者低估了最近获得的信息,处于保守状态。这个小组对一些信息并不热心,甚至没有反应。考虑到股票市场原本有利于投机的消息,当它被宣布时,市场没有反应,或者反应较少。对过度反应或反应不足现象的研究有助于解释股票市场在信息传播、信息披露等方面的特点和问题,也有助于投资者根据新闻类型做出正确的投资决策。本研究报告以美国股市为研究对象,了解美国股市对新闻的过度反应和反应不足现象,试图解释导致这两种现象的原因,为投资者了解美国股市的特点提供一些建议。
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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