新聞媒體報導對公司財務績效與股價之影響

The Effects of Media Coverage on Financial Performance and Stock Price

張琬喻(Woan-Yuh Jang) ； 楊弘章(Horng-Chang Yang) ； 陳佳吟(Chia-Yin Chen)

《證券市場發展季刊》 26卷1期 (2014/03) Pp. 113-146

https://doi.org/10.6529/RSFM.2014.26(1).4

摘要

本研究以2005年1月1日至2010年3月31日於臺灣證券交易所掛牌之上市公司為研究樣本，探討何種特性的公司較吸引媒體報導，並且針對新聞媒體報導對公司之財務績效與市場績效的關聯性進行實證分析。實證結果發現新聞報導量與新聞媒體曝光率與公司規模、個股獨特性波動、前期股價報酬率與前期股價絕對報酬率皆呈現顯著正相關，但與淨值市價比及非三大法人持股比率則呈現顯著之負相關；而新聞報導態度公司規模及各股獨特性波動呈顯著之正相關，與淨值市價比則呈顯著之負相關。再者，增加公司知名度與提升企業正面形象對公司之財務績效皆有益，將有利於公司之企業獲利表現。最後，透過Fama-French三因子模型檢定各投資組合之超額報酬，發現「買入高度新聞報導特性股票－賣出低度新聞報導特性股票」投資組合之Alpha值顯著為正，指出透過此投資策略將可獲取正的超額報酬。

關鍵字

媒體報導量 ； 媒體報導態度 ； 財務績效 ； 股票價格 ； 超額報酬

並列摘要

Using a sample of companies listed on the Taiwan Stock Exchange from January 2005 to March 2010, this study examines the determinants of the cross-section of media coverage and investigates the relations between media coverage and the operating and the market performance of a firm. Empirical results show that media volume or media coverage has positive correlations with firm size, idiosyncratic volatility, past year return and past year absolute return, but has negative correlations with book-to-market ratio and fraction of non-primary-institutional ownership. Similarly, media tenor has positive correlations with firm size and idiosyncratic volatility, but has negative relationships with book-to-market ratio. Further, raising awareness among investors and promoting a good image of the company benefit the firm's performance. Finally, by using the Fama-French (1993) three-factor model, a trading strategy that longs stocks with high media coverage and shorts stocks with low media coverage is profitable. The long-short strategy portfolio exhibits positive and significant alphas and earns abnormally high returns.

並列關鍵字

Media Coverage ； Media Tenor ； Financial Performance ； Stock Price ； Alpha Value

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