Media,Firm-specific Information Diffusion,and Stock Returns

As the carrier of information,media plays an important role in the stock market.A large number of media with different sources compose a complex media herd that transmits the information of the stock market together.Existing studies usually regard one type of media as the whole media to investigate the role of media in the stock market.This dissertation subdivides the media into traditional media and new media creatively and considers the role of reprints to investigate the effect of media in the Chinese stock market.This dissertation consists of three parts.Firstly,we investigate the relationship between traditional-media news and new-media news.We find that new media rely more on traditional media.And new media could respond more quickly to firm-specific events than traditional media.This study provides evidence that there is a symbiotic relationship between traditional media and new media,where traditional media devotes to provide original news with high quality and new media transfers these numbers of news to more readers to attract more attention and discussion.Secondly,we investigate the effect of media on firm-specific information diffusion.Unlike existing literature,this study subdivided the media into traditional media and new media,we prove that new media could transmit firm-specific information more effectively.And a high proportion of reprint could bring the noise for investors.Thirdly,we construct the proxies of media opinion divergence creatively based on LDA.We find that both the degree of media opinion divergence within the same type of media,traditional media or new media and the degree of media opinion divergence between traditional media and new media could push the current stock price up and lead to low future stock returns.The three parts above are closely interrelated.By distinguishing the type of media and reprinting behavior,this dissertation formed the research on "media information measurement,firm-specific information diffusion,asset price formation".This provides a new perspective on the internal mechanism of media affecting asset prices and enriches the asset pricing theory.