关键词: 网络新闻报道, 市场异象, 数字信息, 媒体关注, 中国A股市场

Abstract:

The factors that influence the cross-sectional stock returns is an important aspect of asset pricing research， and numerous studies have shown that the information environment of the market can have a profound effect on asset prices. Fang & Peress（2009） studied the effect of media coverage on cross-sectional stock returns and discovered a media coverage anomaly in the U.S. stock market. They find that stocks without media coverage have higher returns compared to stocks with media coverage. Will this effect also exists in the Chinese stock market？Retail investor percentage is much higher in China's stock market. Compared with institutional investors， retail investors are more susceptible to the influence of media information. With the rapid development and wide popularity of the Internet in China， digital media has gradually replace the traditional media. The online digital media has greatly reduced the cost of information acquisition and improved the information dissemination efficiency， thus profoundly changed the information environment of China's financial market. Therefore， what is the impact of the digital information environment change on China's financial market？ Is there an Internet digital media coverage premium in China？Based on the cross-sectional stock returns from January 2008 to December 2019， the existence of online digital media coverage anomaly in China is explored and possible explanation is provided. Our internet media data includes financial news from more than 400 important internet media outlets. The result shows that： （1） there exists internet media coverage premium in China， and it still exists after controlling the size and book to market ratio factors； （2） Compared with the stocks without media coverage， the stocks with high media coverage have a lower cross-sectional return， which is significant negative； （3） Different from the U.S. market， the media coverage premium in China's stock market could not be explained by the risk compensation theory， but stems from the reversal effect after investors excess attention； （4） The media coverage premium effect of positive news is stronger than that of neutral and negative news. These findings are important for the rational investment of individual investors in China's A-share market， and provide empirical evidences for promoting the function of Internet media in information dissemination in the financial market. The results are also important for relevant policy-making and promoting the high quality development of China's stock market.

Key words: internet media news, market anomaly, digital information, media coverage, Chinese A-share market