How Do Web Search Activity and Financial Media Coverage Affect Asset Pricing?

網路搜尋活動與財經媒體曝光度如何影響資產訂價？

10.6545/JFS.2016.24(1).2

黃子倫(Tzu-Lun Huang)；陳妙玲(Miao-Ling Chen)；郭修仁(Hsiou-Jen Kuo)；賴冠伶(Kuan-Ling Lai)

網路搜尋活動 ； 媒體曝光度 ； 資產訂價 ； 投資人注意力 ； Google搜尋量指數 ； Web search activity ； media coverage ； asset pricing ； investor attention ； Google search volume index

財務金融學刊

24卷1期（2016 / 03 / 31）

25 - 53

英文

本研究利用網路搜尋活動與財經媒體曝光度衡量投資人注意力，探討其對於資本市場中資產訂價的影響。實證結果顯示，網路搜尋活動與財經媒體曝光度對於股票報酬有正向影響，而此影響在金融危機期間較不顯著。本研究進一步利用中介分析，發現網路與財經媒體可能是不同投資族群的資訊取得工具，可衡量不同族群的投資人注意力。

This study aims to investigate the impact of the Internet and the financial media on capital markets in terms of investor attention. Evidence shows that firms receiving more investor attention from the Internet possess higher stock returns. Larger firms are covered by more news stories than are smaller firms. However, medium-sized firms are found the most sensitive to the Internet and the financial media. Both web search activity and media coverage significantly affect stock returns, but their impacts are insignificant during financial crises. The mediation analysis indicates that the Internet and the financial media capture investor attention from different groups.

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