%0 Journal Article
%T Does media attention cause abnormal return? - Evidence from China''s stock market<br>媒体注意力会引起股票的异常收益吗?——来自中国股票市场的经验证据
%A RAO Yu-lei
%A PENG Die-feng
%A CHENG Da-chao
%A <br>饶育蕾
%A 彭叠峰
%A 成大超
%J 系统工程理论与实践
%D 2010
%I 
%X We study the relationship between the media attention and stock monthly return.The empirical results indicate that stocks received more mass-media attention will have lower return in the following month.From Aug.2000 to Jun.2008,a long-short equity strategy based on attention yields significantly 0.46%monthly excess return after controlling for Fama-French 3-factor model.This is consistent with previous study by Fang and Peress.However,the abnormal return in our paper is due to the weak performance of high ...
%K media effect
%K limited attention
%K abnormal return
%K over-attention underperformance<br>媒体效应
%K 有限注意
%K 异常收益
%K 过度关注弱势
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=DC55A9EB12548F257CB0EE0F2FD63B4D&yid=140ECF96957D60B2&vid=340AC2BF8E7AB4FD&iid=0B39A22176CE99FB&sid=EBD6B792C9111B87&eid=E42CAFB11D4BE21A&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=49