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.