CAJ | 학술논문

本文以富豪榜上榜事件为研究对象，探讨了媒体关注度高的股票的收益反而低于关注度低的股票这一“媒体效应”的产生原因，通过实证研究检验了基于传统金融理论的“风险补偿假说”和基于行为金融理论的“过度关注弱势假说”。研究结果显示，被报道股票在事件期内产生了负的超额收益，而通过倾向得分匹配算法构建的控制组股票超额收益并不显著，说明“风险补偿假说”不成立，“媒体效应”的来源并不是低关注股票的正收益。事件期内被关注股票的交易量显著放大，并且日历时间组合方法在事件日前得到了显著的正收益，在事件日后则转为显著的负收益，基本符合“过度关注弱势假说”。，‘
본문이부호방상방사건위연구대상，탐토료매체관주도고적고표적수익반이저우관주도저적고표저일“매체효응”적산생원인，통과실증연구검험료기우전통금융이론적“풍험보상가설”화기우행위금융이론적“과도관주약세가설”。연구결과현시，피보도고표재사건기내산생료부적초액수익，이통과경향득분필배산법구건적공제조고표초액수익병불현저，설명“풍험보상가설”불성립，“매체효응”적래원병불시저관주고표적정수익。사건기내피관주고표적교역량현저방대，병차일력시간조합방법재사건일전득도료현저적정수익，재사건일후칙전위현저적부수익，기본부합“과도관주약세가설”。，‘
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 fi- nance theory and ＂over-attention underperformance hypothesis＂ based on investor＇s limited attention from be- havioral 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 tbe 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＂.