本研究檢測新聞媒體報導資訊內涵與橫斷面股價報酬的關係。發現以台灣新 聞媒體資料所建構的新聞媒體曝光程度中，公司規模較大、價值型及特有風險較 大的股票會有較高的新聞媒體曝光度，另外，三大法人持股較高、有極端報酬及 週轉率較高特性的公司股票，亦能吸引新聞媒體的關注。此與 Fang and Peress (2009)所提出的美國新聞媒體報導證據相悖，Fang and Peress (2009)指出新聞媒體 報導偏重於散戶投資人持有較多且分析師報導較少的股票，有助於公司資訊的傳 播。而相較於美國市場，台灣新聞媒體較著重於機構投資人持有、週轉率高及有 極端報酬的股票，可能導致散戶投資人過度注意於新聞媒體所捕捉的公司，而無 法對無此特性的公司股票有全面性的認知，降低資訊之摩擦。因此，不同證券市 場新聞媒體報導的偏好，可能導致其媒體效果對橫斷面股價報酬有不同的影響。
本文針對了無媒體曝光程度、高度媒體曝光程度及媒體曝光程度套利投資組 合進行了單變量及多變量的分析。在多個已知會影響橫斷面股價報酬的風險因子 調整下，其媒體曝光程度套利投資組合之異常報酬皆無顯著異於零的證據，而分 析了無媒體曝光程度投資組合之異常報酬，並無發現如 Merton (1987)指出在資 訊不完全市場中，投資人無法注意到所有的股票，而較少投資人所認知的股票需 要有較高的預期報酬，以補償無法完全分散的特有風險的論點，反而在大部分情 況下，其異常報酬呈現為負的狀況。但高度媒體曝光程度投資組合反倒是在各個 已知會影響橫斷面股價報酬的風險因子調整下呈現穩定的負異常報酬，即使在持 有期間長達十二個月亦如此。
接續依公司特性及流動性作區分檢驗是否能為無媒體曝光程度、高度媒體曝 光程度及媒體曝光程度套利投資組合之異常報酬作解釋。仍舊無發現 Fang and Peress (2009) 所提到因為無新聞媒體的資訊傳播，較少投資者認知的公司股票應 予以較高的預期報酬以補償無法完全分散的特有風險，而此類股票又因為缺乏足
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夠流動性所以造成此媒體效果的持續，因此媒體曝光程度套利投資組合獲得顯著 為正異常報酬的結果。反倒是在各種特性下，高度媒體曝光程度投資組合皆呈現 顯著為負的異常報酬。因此，遵循此特性，最後使用投資人對新聞媒體的過度關 注來探討高度媒體曝光程度投資組合呈現異常報酬之特性。實證發現散戶投資人 持股比率較高及有高異常成交量的公司股票之群組，其媒體曝光程度套利投資組 合有顯著為正的異常報酬，特別是規模較大的公司股票。且此差異來自於高度媒 體報導的投資組合有較大的負異常報酬。此與 Barber and Odean (2008)提到的論 點類似，以散戶投資人交易為主的台灣證券市場，其過度新聞媒體報導所釋放出 來的資訊內涵，容易造成投資人的過度關注，尤其又有異常交易量等吸引投資人 目光之資訊，造成散戶投資人高估其股票價格，但隨之股價報酬的長期反轉。
綜上所述，實證結果發現不同的證券市場下，新聞媒體所扮演的角色不盡相 同，其對投資人傳達的資訊內涵也會有不同影響，以台灣新聞媒體資料所建構的 媒體曝光程度顯示，在強烈的新聞報導之下，有容易造成投資人的過度關注，進 而使得曝光程度較強的公司股票獲得較低股價報酬的媒體效果。
而本研究限於人力，及缺乏客觀的判斷條件針對新聞媒體報導內容作質化及 量化的區別，對於未來的相關研究，認為可以將新聞媒體所傳達的資訊型態作區 分，例如：好 (壞)消息、過時 (及時)資訊等的區別，探討此新聞媒體所傳達的 資訊內涵導致過度關注且獲得較低的股價報酬是由哪一種資訊型態所造成。
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附錄
表 A-1、變數定義
公司特性
規模 權益市值
淨值市值比 權益帳面價值/權益市值
特有風險 公司特有風險的估計，是基於日報酬資料之型態，以 Fama and French
(1993)三因子模式所得之當月份股票報酬殘差的標準差
散戶投資人持股比率 1 減三大法人持股比率
極端報酬 月報酬取絕對值
成交值 每日成交值之帄均
週轉率 成交量除以在外流通股數
異常成交量 成交量除以過去 12 個月成交量之帄均
價格 帄均日收盤價
風險因子
RM-RF 市場報酬率減無風險利率報酬率
SMB
小規模公司組合的簡單帄均報酬率減大規模公司組合的簡單帄均報 酬率
HML
高淨值市值比公司組合的簡單帄均報酬率減低淨值市值比公司組合 的簡單帄均報酬率
UMD
基於公司過去 12 個月的報酬率計算短期報酬率，將最高短期股票報 酬率組合的簡單帄均報酬率減最低短期股票報酬率組合的簡單帄均 報酬率
AILLIQ
依循 Amihud (2002)的不流動變數計算公司之不流動性，將最高不流 動因子組合的簡單帄均報酬率減最低不流動因子組合的簡單帄均報 酬率
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