Review of Accounting Studies ·Volume 23, Issue 1, MAR 2018
媒体的合成和传播对资本市场的影响：来自机器人新闻的证据
作者：Elizabeth Blankespoor (Graduate School of Business, Stanford University)
Ed deHaan (Foster School of Business, University of Washington)
Christina Zhu (Graduate School of Business, Stanford University)
摘要：2014年，美联社（AP）开始使用算法来撰写关于公司盈余公告的文章。这些“机器人新闻”文章综合了企业新闻、分析师报告和股票表现的信息，并在盈余公告发布几个小时后由各大新闻媒体广泛传播。每季度都可提供数千家公司的这类文章，其中许多公司以前几乎没有受到媒体关注。我们使用美联社的机器人新闻的交错实施来检查媒体合成和传播的效果，因为这些文章缺乏私人信息，并且在公司的收益新闻和披露选择方面大都是外生的。我们发现了令人信服的证据表明，自动化文章会增加企业的交易量和流动性。这种影响很可能是由散户推动的。我们发现没有证据表明这些文章改善或阻碍了价格发现的速度。我们的研究为公共信息的纯合成和传播在资本市场中的影响提供了新的证据，并初步洞察了自动化新闻对市场效率的影响。
关键词：媒体；合成；传播；自动化；交易量；流动性
Capital market effects of media synthesis and dissemination: evidence from robo-journalism
Elizabeth Blankespoor (Graduate School of Business, Stanford University) Ed deHaan (Foster School of Business, University of Washington) Christina Zhu (Graduate School of Business, Stanford University)
ABSTRACT
In 2014, the Associated Press (AP) began using algorithms to write articles about firms’ earnings announcements. These “robo-journalism” articles synthesize information from firms’ press releases, analyst reports, and stock performance and are widely disseminated by major news outlets a few hours after the earnings release. The articles are available for thousands of firms on a quarterly basis, many of which previously received little or no media attention. We use AP’s staggered implementation of robo-journalism to examine the effects of media synthesis and dissemination, in a setting where the articles are devoid of private information and are largely exogenous to the firm’s earnings news and disclosure choices. We find compelling evidence that automated articles increase firms’ trading volume and liquidity. The effects are most likely driven by retail traders. We find no evidence that the articles improve or impede the speed of price discovery. Our study provides novel evidence on the impact of pure synthesis and dissemination of public information in capital markets and initial insights into the implications of automated journalism for market efficiency.
Keywords: Media; Synthesis; Dissemination; Automation; Trading volume; Liquidity
原文链接：
https://link.springer.com/article/10.1007/s11142-017-9422-2
翻译：张展
