Pacific-Basin Finance Journal Volume 44, September 2017, Pages 160–172

媒体情绪与不同类型交易员的交易策略

作者：Daniel Cahill (The University of Western Australia, Australia), Marvin Wee (The University of Western Australia, Australia), Joey W. Yang (The University of Western Australia, Australia)

摘要：这篇文章研究了媒体所传达的情绪是如何影响个人和机构交易者针对澳洲标普ASX200公司的盈利报告所提出的交易策略。我们发现机构交易者对媒体渲染的由分析师预测误差引起的盈利新闻往往反应过度。相反，个人交易者对媒体渲染的无论是正的还是负的非预期盈利都持漠然的态度。进一步的研究发现，他们的交易决定仅受媒体渲染的影响，与盈利意外无关。我们也发现公司层面的媒体情绪补充了市场情绪，主要是通过给投资者提供及时信息来影响他们对澳洲市场费预期盈利的看法。

Media sentiment and trading strategies of different types of traders

Daniel Cahill (The University of Western Australia, Australia), Marvin Wee (The University of Western Australia, Australia), Joey W. Yang (The University of Western Australia, Australia)

ABSTRACT

This paper investigates how the prevailing sentiment conveyed by the media influences trading by retail and institutional traders around earnings announcements made by ASX200 constituent firms. We find that media sentiment influences institutional traders to overreact to earnings news measured by analyst forecast errors. In contrast, retail traders are indifferent to either positive or negative unexpected earnings in the presence of media sentiment. Further analysis reveals that their trading decisions are affected by media sentiment alone, independent of the earnings surprise. We also find that firm-specific media sentiment complements market-wide sentiment by providing timelier information to investors in shaping their perceptions of unexpected earnings in the Australian market.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X1730121X

翻译：阙江静