Journal
FINANCE RESEARCH LETTERS
Volume 22, Issue -, Pages 1-4Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2017.05.001
Keywords
Mass media; media effect; Investor sentiment; Logit model
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Based on one set of micro-level survey data, we examine impacts of the mass media effect on investor sentiment. The financial information is distributed through three mass media channels. The study reveals that the mass media effect leads to investor sentiment fluctuation, and significantly affects investors' trading decisions. Moreover, the impacts of media reports are asymmetric: in a rising market, investors pay more attention to optimistic reports and ignore those with a negative signal; by contrast, in a declining market, investors are more vulnerable to pessimistic reports, and reports with active information do not bring a significant effect. (C) 2017 Elsevier Inc. All rights reserved.
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