Media Attention, Capital Market Mispricing and Corporate Investment
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摘要: 从信息不对称与行为金融视角考察媒体关注如何通过资本市场错误定价影响企业投资行为。基于2009年~2015年中国A股资本市场经验数据的研究发现, 媒体关注在资本市场错误定价影响中同时具有信息功能与情绪功能, 信息功能主要通过缓解公司股票低估来实现, 而情绪功能主要通过加剧股票高估来实现。中介效应检验发现, 媒体关注通过缓解股票低估显著抑制了股票低估引起的投资削减, 但也会因加剧股票高估恶化股票高估引起的投资扩张。进一步研究发现, 媒体关注显著降低了股票低估公司的信息不对称程度, 缓解了股票低估引起的投资不足, 但却渲染了股票高估公司的投资者情绪, 加剧了股票高估引起的投资过度。即, 媒体通过影响资本市场错误定价对企业资源配置具有治理与恶化两种相反的作用。本文的研究结论有助于了解媒体在资本市场运行中的功能和作用机制, 为媒体这一金融市场中介如何服务实体经济发展提供了现实参考。Abstract: Based on the perspectives of information asymmetry and behavioral finance, the paper employs the data from Chinese A-share market to examine that media attention plays dual roles of information and sentiment in stock mispricing, but both follow different paths. Media largely plays information role in relieving the undervaluation, while it implements sentimental functions in increasing the overvaluation. The results from mediation effect tests show that media attention significantly inhibit the decreasing of investments through relieving the stock undervaluation, but significantly exacerbates the investment expansion through aggravating the stock overvaluation. Further, this paper finds that media attention reduces the level of information asymmetry of the undervalued firms, alleviating the lack of investment caused by stock undervaluation, while increases the investors' irrationality of overvalued firms, exacerbating over-investment caused by stock overvaluation. In conclusion, this paper indicates that media has both governance and exacerbation effects on the efficiency of capital allocation through capital market misvaluation. The research helps us understand the function mechanism of media in the capital market, and provides references for how media as information intermediary in financial market improve the development of real economy.
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表 1 变量定义表
变量名称 变量符号 变量定义 公司投资水平 CAPX (当期购建固定资产、无形资产和其他长期资产所支付的现金-当期处置固定资产、无形资产和其他长期资产所收到的现金净额)/期初总资产×100 股票错误定价 MISP_All 详见研究设计。该值越大,股票高估程度越大;反之,股票低估程度越大 股票高估 MISP_Over 当MISP_All>0时,取MISP_All的值。该值越大,股票高估程度越大 股票低估 MISP_Under 当MISP_All < 0时,取MISP_All的绝对值。该值越大,股票低估程度越大 媒体关注 MEDIA Ln(1+公司年度媒体报道总数) 现金流能力 CFO 公司当期经营活动现金净流量/期初总资产 融资动机 EQISS 公司当期发行权益融资净额/期初总资产 公司规模 SIZE 公司总资产的自然对数 成长能力 GROW (当期营业收入-上期营业收入)/上期营业收入 负债水平 LEV 总负债/总资产 上市年龄 AGE Ln(1+公司上市年数) 盈利水平 ROA 公司当期净利润/资产总额 高管持股 HOLD 虚拟变量,高管持股时取值为1,反之为0 高管权力 DUAL 虚拟变量,董事长与总经理两职合一时取1,反之为0 股权集中度 TOP1 公司第一大股东持股比例 产权性质 SOE 当公司最终控制人为国有时,取值为1,反之为0 表 2 描述性统计
变量 N 均值 标准差 最小值 1/4分位数 中位数 3/4分位数 最大值 CAPX 13 306 5.663 6.597 -6.129 1.292 3.789 7.829 51.83 MISP_All 13 306 0.011 0.496 -1.672 -0.399 -0.002 0.342 1.840 MISP_Over 6 448 0.433 0.370 0.000 0.185 0.326 0.611 1.840 MISP_Under 6 858 0.418 0.335 0.000 0.159 0.358 0.638 1.672 MEDIA 13 306 4.025 1.109 0.000 3.333 3.970 4.654 7.963 CFO 13 306 0.048 0.092 -0.384 0.001 0.047 0.097 0.552 EQISS 13 306 0.033 0.100 0.000 0.000 0.000 0.006 0.826 SIZE 13 306 22.09 1.315 18.96 21.19 21.93 22.84 27.14 GROW 13 306 0.211 0.703 -0.698 -0.049 0.095 0.259 8.094 LEV 13 306 0.483 0.209 0.026 0.322 0.489 0.646 0.942 AGE 13 306 2.590 0.479 1.386 2.197 2.773 2.944 3.178 ROA 13 306 0.035 0.054 -0.235 0.010 0.031 0.059 0.222 HOLD 13 306 0.690 0.460 0 0 1 1 1 DUAL 13 306 0.148 0.410 0 0 0 1 1 TOP1 13 306 35.51 15.60 0.286 23.14 33.46 46.40 89.99 SOE 13 306 0.481 0.500 0.000 0.000 0.000 1.000 1.000 表 3 媒体关注、资本市场错误定价与企业投资
Y= 全样本 股票高估组 股票低估组 股票高估组 股票低估组 CAPX MISP_Over MISP_Under CAPX CAPX (1) (2) (3) (4) (5) MISP_Over 0.594** (2.06) MISP_Under -1.610*** (-2.88) MEDIA 0.144** 0.081*** -0.058*** 0.207*** 0.093 (2.26) (6.04) (-11.05) (2.61) (1.42) CFO 0.111*** 0.076 0.061 0.094*** 0.134*** (8.92) (1.43) (1.17) (7.53) (7.98) EQISS 0.133*** 0.348*** -0.347*** 0.122*** 0.140*** (4.41) (7.12) (-12.91) (3.68) (5.12) SIZE 0.019*** -0.234*** 0.189*** 0.015*** 0.022*** (6.55) (-20.89) (22.65) (9.41) (5.44) GROW 0.003* 0.083*** 0.007 0.001 0.006*** (1.78) (10.33) (0.72) (0.30) (2.93) AGE -0.023*** 0.157*** 0.055*** -0.022*** -0.023*** (-5.71) (8.87) (4.96) (-5.66) (-5.13) LEV -0.016*** 0.328** -0.022 -0.014*** -0.023*** (-2.83) (2.58) (-0.27) (-3.13) (-3.41) ROA -0.006 0.534*** -1.284*** -0.014 -0.029 (-0.29) (4.23) (-10.77) (-0.61) (-1.07) HOLD 0.109* 0.060 0.058 0.102* 0.098 (1.90) (1.16) (1.13) (1.76) (1.60) DUAL 0.270* -0.290 0.121 0.206 -0.181 (1.80) (-1.36) (0.33) (1.41) (-0.77) TOP1 -0.001** 0.001*** -0.001*** -0.001 -0.002*** (-3.38) (7.45) (-4.35) (-0.79) (-5.31) SOE -0.002 -0.066*** 0.008 -0.005*** 0.002 (-1.37) (-13.00) (0.41) (-3.33) (1.01) 年度/行业效应 是 是 是 是 是 N 13 306 6 448 6 858 6 448 6 858 Adj R2 0.314 0.338 0.305 0.230 0.233 说明:常数项估计结果未报告;括号内为经公司层面Cluster的T统计量;*、**、***分别表示在10%、5%、1%统计水平下显著(双侧)。下表同。 表 4 内生性检验
Y= 第一阶段回归结果 第二阶段回归结果 全样本 全样本 股票高估组 股票低估组 股票高估组 股票低估组 MEDIA CAPX MISP_Over MISP_Under CAPX CAPX (1) (2) (3) (4) (5) (6) MISP_Over 0.291* (1.94) MISP_Under -1.224*** (-2.77) PreMEDIA 0.246*** 0.130*** -0.042*** 0.226** 0.051 (2.70) (5.01) (-3.00) (2.52) (1.08) DEVELOP 10.264*** (4.39) CFO 0.581*** 10.365*** 0.143** -0.010 9.013*** 12.287*** (5.60) (8.64) (2.47) (-0.11) (7.85) (6.62) EQISS 0.022 3.327* 0.084* -0.176*** 5.814** 9.566*** (0.54) (1.93) (1.87) (-3.72) (2.24) (4.87) SIZE 0.477*** 0.776*** -0.212*** 0.185*** 1.161*** 1.040*** (59.13) (6.02) (-30.64) (23.60) (13.54) (5.27) GROW -0.046*** 0.404*** 0.080*** 0.053*** 0.129 0.720*** (-3.29) (3.02) (5.15) (3.08) (0.61) (3.37) AGE -0.063*** -2.773*** 0.124*** 0.058*** -2.778*** -2.513*** (-3.25) (-5.35) (8.53) (5.73) (-4.66) (-5.50) LEV -0.613*** -1.493*** 0.409*** -0.166*** -1.367*** -2.392*** (-12.11) (-2.71) (7.72) (-3.09) (-4.07) (-3.21) ROA 0.773*** 0.628 0.174 -1.140*** 0.101 -2.247 (5.85) (0.58) (0.77) (-4.32) (0.11) (-1.27) HOLD 0.051 0.086 -0.070 0.052 0.059 0.026 (0.96) (0.41) (-0.48) (0.29) (1.19) (0.38) DUAL 0.138 0.082 -0.039 0.083 -0.072 0.117* (1.25) (0.51) (-0.50) (0.45) (-0.40) (1.92) TOP1 -0.004*** -0.021*** 0.001*** -0.001*** -0.007 -0.033*** (-7.28) (-4.58) (7.25) (-7.57) (-1.24) (-5.65) SOE 0.087*** -0.376** -0.054*** 0.014 -0.645*** 0.069 (4.28) (-2.23) (-7.08) (0.59) (-3.24) (0.29) 年度/行业效应 是 是 是 是 是 是 N 13 306 13 306 6 448 6 858 6 448 6 858 Adj R2 0.328 0.373 0.311 0.316 0.249 0.256 表 5 稳健性检验
Panel A:考虑研发投资 Y= CAPXRD MISP_Over MISP_Under CAPXRD CAPXRD (1) (2) (3) (4) (5) MEDIA 0.279*** 0.080*** -0.059*** 0.217** 0.104 (3.22) (6.17) (-11.95) (2.49) (0.98) MISP_Over 0.616** (1.97) MISP_Under -1.672** (-2.26) 控制变量 是 是 是 是 是 年度/行业效应 是 是 是 是 是 N 13 266 6 508 6 885 6 558 6 708 Adj R2 0.360 0.296 0.311 0.275 0.278 Panel B:替换股票错误定价变量 Y= CAPX CAR_Over CAR_Under CAPX CAPX (1) (2) (3) (4) (5) MEDIA 0.149** 0.020** -0.018* 0.261 0.104 (2.18) (1.97) (-1.92) (2.59) (1.60) CAR_Over 0.201** (2.15) CAR_Under -0.835** (-2.04) 控制变量 是 是 是 是 是 年度/行业效应 是 是 是 是 是 N 13 157 6 259 6 898 6 259 6 898 Adj R2 0.220 0.183 0.211 0.227 0.216 表 6 媒体关注对信息不对称的影响
Y= 全样本 股票高估组 股票低估组 FERR FDIS DA FERR FDIS DA FERR FDIS DA (1) (2) (3) (4) (5) (6) (7) (8) (9) MEDIA -0.175** -0.106** 0.001 -0.160* -0.090* 0.001 -0.233*** -0.151*** -0.001** (-2.11) (-2.03) (1.17) (-1.81) (-1.73) (1.04) (-2.69) (-2.60) (-2.06) CFO -4.522*** -2.507*** -0.039** -3.918** -2.642*** -0.026 -5.364*** -2.412*** -0.056*** (-3.11) (-3.25) (-2.39) (-2.42) (-2.54) (-1.25) (-2.99) (-3.42) (-2.96) EQISS -0.221 -0.237 0.175*** 0.175 -0.245 0.169*** -3.001*** -1.625*** 0.174*** (-0.68) (-1.20) (7.32) (0.34) (-0.77) (6.17) (-3.51) (-4.26) (9.26) SIZE -0.210*** -0.120*** -0.008*** -0.189 -0.010 -0.007*** -0.133 -0.079 -0.004*** (-2.89) (-5.32) (-18.77) (-1.61) (-0.12) (-4.96) (-1.02) (-1.22) (-2.77) GROW -0.530** -0.147* 0.015*** -0.472** -0.201* 0.018*** -0.660** -0.090 0.009*** (-2.51) (-1.75) (5.82) (-2.27) (-1.84) (5.98) (-2.33) (-0.67) (2.85) AGE -0.498*** -0.308** 0.002 -0.674*** -0.336** 0.005 -0.434** -0.298* -0.001 (-5.23) (-3.56) (0.60) (-4.25) (-3.27) (1.00) (-2.94) (-2.40) (-0.43) LEV -0.064 0.052 0.021*** -0.477 -0.554 0.028*** 0.220 0.514 0.007 (-0.12) (0.14) (4.17) (-0.61) (-0.69) (3.36) (0.34) (0.89) (0.80) ROA -24.753*** -13.147*** 0.014 -23.177*** -13.395*** -0.000 -27.172*** -13.485*** 0.013 (-8.29) (-5.55) (0.74) (-7.32) (-4.90) (-0.00) (-7.52) (-5.07) (0.59) DUAL -0.007 -0.021** -0.011 -0.005 -0.027*** -0.023 -0.011 0.018 -0.010 (-1.26) (-2.06) (-1.51) (-0.54) (-6.32) (-1.64) (-0.95) (1.33) (-1.10) HOLD -0.372* -0.285 -0.098 -0.210 -0.229 0.086 -0.299 -0.192 -0.120 (-1.72) (-1.55) (-1.57) (-1.09) (-1.73) (1.07) (-1.58) (-1.40) (-1.36) Top1 -0.010** -0.007** 0.000 -0.017** -0.013*** 0.000 -0.008* -0.005* 0.000 (-2.41) (-2.52) (1.91) (-2.23) (-2.65) (0.65) (-1.72) (-1.75) (0.60) SOE -0.309*** -0.180** -0.010*** -0.255** -0.123* -0.016*** -0.336* -0.201 -0.003** (-2.61) (-3.05) (-12.01) (-2.15) (-1.73) (-8.12) (-1.69) (-1.53) (-2.01) 年度/行业效应 是 是 是 是 是 是 是 是 是 N 10 372 10 372 10 846 5 088 5 127 5 314 5 284 5 245 5 532 Adj R2 0.086 0.077 0.127 0.088 0.084 0.125 0.096 0.076 0.118 表 7 媒体关注对投资者情绪的影响
Y=SENTMT 全样本 股票高估组 股票低估组 (1) (2) (3) MEDIA 0.069**(2.11) 0.050**(2.08) 0.029(1.53) CFO -0.386*(-1.69) -0.540**(-2.45) -0.031(-0.18) EQISS -0.452*(-1.88) -0.547*(-1.78) -0.981**(-2.09) SIZE -0.442***(-4.74) -0.446***(-5.15) -0.553***(-4.69) GROW -0.020(-0.24) 0.042(0.41) -0.075(-0.80) AGE 0.219*(1.92) 0.156(1.28) 0.312***(2.81) LEV 0.559***(2.71) 0.271(1.25) 1.116***(5.82) ROA -3.980***(-3.24) -5.974***(-3.18) -0.684(-0.98) HOLD -0.028*(-1.12) -0.042(-1.35) -0.011(-0.25) DUAL -0.059*(-1.88) -0.041(-1.18) -0.036(-1.39) TOP1 -0.026***(-4.22) -0.025***(-4.44) -0.026***(-3.99) SOE 0.152***(3.30) 0.126**(2.51) 0.142***(3.45) 年度/行业效应 是 是 是 N 11 482 5 562 5 920 Adj R2 0.424 0.422 0.450 表 8 媒体关注对企业投资影响的经济后果
|INV_IF| MISP_Over MISP_Under INV_Over INV_Under (1) (2) (3) (4) (5) MEDIA -0.135**(2.41) 0.085***(6.94) -0.029***(-2.88) -0.226(-1.30) -0.014(-0.42) MISP_Over 1.316***(2.73) MISP_Under 0.609***(4.11) 控制变量 是 是 是 是 是 年度/行业效应 是 是 是 是 是 N 10 832 2 184 3 920 2 184 3 920 Adj R2 0.194 0.232 0.295 0.190 0.130 -
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