Abstract: Based on the fact that in the Chinese stock market individual investors constitute the majority of the market, who have relatively lower rationality, this paper constructs a theoretical model to discuss the two aspects of media’s effect on stocks: easing the information asymmetry and causing investor’s attention effect. The results show: first, the price of reported stock is affected by attention effect and shows an attention premium; second, the trading volume of attention investors is enlarged after the media report and buy-sell-imbalance exists; last, as compensation to limited rationality, the higher investors’ attention is affected by media report, and their trading profit is lower. This paper looked into how media eases information asymmetry and causes attention effect under a unified framework, helped to further explore how media affect stock market, and provided inspirations for regulators to make full use of the media to promote the healthy development of the stock market.

Key words: media report, investor attention, stock price

摘要： 鉴于中国A股市场个人投资者比例相对较高但其理性程度相对较低的实际情况,在拓展Tetlock模型的基础上构建了一个两资产三阶段的理性期望模型。研究发现:首先,被报道股票的价格受到注意力效应的影响,存在正向注意力溢价;其次,注意力交易者对被报道股票的交易量在媒体报道后放大,且存在买卖不平衡性;最后,作为对有限理性的补偿,注意力受媒体报道的影响程度越高,其收益越低。论文在统一的分析框架之内考察了媒体报道对缓解信息不对称和引发投资者注意力效应两方面的影响,有助于在理论上为进一步探索媒体报道对股票市场的影响机理、在实践中为监管层更好地利用媒体力量促进股市健康发展提供理论启示。

关键词: 媒体报道, 投资者注意力, 股票价格