Media-effect on Stock Returns:Risk Premium or Over-attention Underperformance
以富豪榜上榜股票为样本，检验媒体关注度高的股票表现低于关注度低的股票的原因，发现风险溢价假说不成立，而投资者有限关注导致的过度关注低表现假说得到支持。
This paper uses the stocks listed on richest list as research subject,discusses the reasons why media-effect occurs,which refers to the phenomenon that stocks with high media attention underperform those with lower media attention.The authors empirically test the risk premium hypothesis based on conventional finance theory and over-attention underperformance hypothesis based on investor's limited attention from behavioral finance theory.It is found that covered stocks show negative abnormal return in the event period,while the stocks in the control group constructed by propensity score matching(PSM) don't show significant abnormal return.This shows that risk premium hypothesis does not hold,media-effect does not come from the higher return of the stocks not covered.The trading volume within the event period is significantly enlarged,and the return from calendar time portfolio is significantly positive before the event day,but it turns negative afterward, which is basically consistent with the over-attention underperformance hypothesis.