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传闻、澄清公告影响机制研究——基于投资者情绪和投资者关注的视角

Potential Mechanisms of the Effects of Rumor and Clarification Announcement:Perspectives from Investor Sentiment and Investor Attention
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摘要 本文结合投资者情绪、投资者关注的视角对传闻以及传闻澄清公告对市场绩效影响进行了研究。具体实证发现如下:正面传闻会造成股价显著提升,负面传闻会导致股价显著下降;针对负面传闻所作的澄清公告作用极其有限,而针对正面传闻的澄清公告却可能起到了一定的澄清作用;投资者情绪是导致传闻澄清公告作用不明显的原因之一;投资者关注度越高,投资者情绪所起的作用也越大,负面传闻对股价造成的影响也就越大。澄清公告的字数越多越有助于提高针对正面传闻的澄清公告的作用,对针对负面传闻的澄清公告的作用影响不大。本文最后结合这些结论简要讨论了应对传闻的措施。 In this paper,we investigate the effects of rumor and clarification announcement on stock price from the perspective of investor sentiment and investor attention.Empirical results show that,as the investor sentiment becomes stronger,positive/negative rumor will increase/decrease the stock price significantly.Clarification announcement of positive rumor can drop down the stock price in some degree.But clarification announcement of negative rumor has no influence on the recovery of stock price,clarification announcement of positive rumor has made some influence on the clarification.Investor sentiment might be one of the reasons that confine the effect of clarification announcement.Due to the interaction between investor sentiment and investor attention,when a negative rumor happen,the more the investor attention,the larger the effect of investor sentiment on stock price.The more word number of clarification announcement,the better effect of clarification announcement on positive rumor,while,it has no influence on the effect of clarification announcement on negative rumor.In the end we discussed measures to react rumor with our conclusion.
作者 朱恒 姚京 朱书尚 Zhu Heng;Yao Jing;Zhu Shushang(不详)
出处 《金融学季刊》 2019年第1期176-205,共30页 Quarterly Journal of Finance
基金 自然科学基金面上项目(71471180,71671045)的资助.
关键词 传闻 传闻澄清 投资者情绪 投资者关注 rumor clarification announcement investor sentiment Investor attention
作者简介 朱恒,中山大学管理学院博士研究生;姚京,复旦大学经济学院副教授;通信作者:朱书尚,中山大学管理学院教授,博士生导师,联系地址:广东省广州市海珠区新港新路135号中山大学管理学院,E-mail:zhuss@mail.sysu.edu.cn。
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