学术讲座：The Perils of Crying ‘Fake News’

讲座题目：The Perils of Crying ‘Fake News’

时间：3月5日（周二）12:20-13:30

地点：博学楼925

主讲人：罗曼茜

主讲人简介：

罗曼茜博士现任鹿特丹伊拉斯姆斯大学（RSM Erasmus university）助理教授。她本科毕业于厦门大学，博士毕业于荷兰蒂尔堡大学，曾在麦吉尔大学（Mcgill University）和哥伦比亚大学商学院（Columbia University）访学。主要研究方向为资产管理和政治经济学。她曾获得由荷兰科学研究组织颁发的杰出人才研究基金，以及Inquire Europe奖。她的研究成果曾获2016年第四届SUERF/UniCredit & Universities研究奖金并收录于各种会议中。

讲座内容简介：

Abstract：We use the 2007 acquisition of Dow Jones Newswires (DJNW) by News Corporation as an experiment, to study whether the perception of a news source’s political affiliation affects its credibility and impact on the financial market. Following the acquisition, the prices of “Republican” stocks (stocks of firms making larger political contributions to the Republican party) become less sensitive to sentiment in DJNW news pieces, relative to “Democrat” stocks. The effect is driven by the reaction to positive commentary about Republican stocks and negative about Democrat stocks, and by investors with a Democrat lean. We find, however, no evidence of an actual bias in DJNW sentiment following 2007, suggesting that the market fails to incorporate valuable information in stock prices. Consistent with this view, a trading strategy that tracks DJNW news earns abnormal returns over the period following the acquisition. Finally, we find that the attenuated response to DJNW news has material implications for asset price efficiency, and associates with a lower firm-specific information content of stock prices. These findings suggest that crying ‘fake news’ and more in general allegations of a bias in the media can be as relevant as biased news themselves.

    摘要：我们利用2007年新闻集团对道琼斯公司的收购作为实验，来研究人们对于新闻媒体政治偏向的看法如何影响新闻的可信度以及如何影响金融市场。此收购之后，那些捐款更多给共和党公司的股票价格对于道琼斯新闻情绪的敏感度显著减少。这个效果主要来自于有关共和党公司的正面新闻，和有关于民主党公司的负面新闻，以及那些有民主党倾向的投资者。而事实上，我们并未发现道琼斯新闻中真的有政治偏向，这也反映出市场并没有把有价值的信息及时的消化。因此，我们可以构建追踪道琼斯新闻情绪的投资策略从而获得较高的收益。我们的发现表明，宣称假新闻或者咬定新闻媒体是有偏向这件事本身已经能带来很严重的后果。