The Media Effect on Stock Market Overreaction

Abstract

近年來行為財務學已發現不論股價行為是過度反應或反應不足，皆隱含投資人根據市場中相關資訊來形成投資決策時所呈現非理性行為。本文希望除了驗證過度反應之現象外，亦觀察媒體效果是否有形成或助長過度反應的發生。在加入媒體效果後發現當平均新聞則數、曝光強度愈高，則反轉的時間愈早且反轉的幅度愈大。當多空強度為轉弱（壞消息）時，其反轉的時間會比多空強度為強（好消息）時早，且幅度更大。最後將規模效果考慮進去後會發現，小公司的報酬反轉時間會比大公司慢，但隨著持有期愈長，其反轉幅度會漸漸超越大公司。過去有許多文獻使用過度反應的現象來形成反向投資策略，而本文對於過去解釋投資策略獲利的原因，增加一個新的解釋方向。

The recent literature of behavioral finance has introduced that the overreaction or underreaction of share price movements can be explained by investors' irrational investment decisions. Besides re-examining the overreaction hypothesis, this study further investigates whether media effect can cause or enhance market overreaction. We observe that the pace and magnitude of stock price mean reversion are positively associated with the average number of press releases and the magnitude of press exposure. Both the pace and magnitude of share price mean reversion are higher in the declining market (i.e., bad news) than in the advancing market (i.e., good news). We also find that the pace of share price mean reversion is slower for small firms than for large firms. However, the magnitude of share price mean reversion for small firms, exceeds that for large firms as holding period extends. Past studies apply overreaction phenomenon to develop contrarian investment strategies. We contribute to the literature by incorporating the media effect as an explanation for contrarian investment strategies.