媒体对上市公司的报道范围日益广泛,内容也日益深入。那么,媒体报道究竟对股票市场运行效率产生了何种作用呢？本文试图以股价信息含量为着眼点,考察媒体报道对中国股票市场运行效率的影响。基于中国A股上市公司2003-2011年5608个年度观察样本的实证研究发现,媒体报道能够显著提升中国上市公司的股价信息含量,即上市公司受到媒体的报道越多,基于r2度量的股价信息含量就越高。在控制了内生性、其他可能的替代解释等问题后,本文的研究结论仍然稳健成立。这说明,媒体报道对中国股票市场运行效率的提升发挥了积极作用。The media coverage on listed firms is increasingly important for investors in today's information age.However, little is known about the role of media coverage on the effectiveness of stock market.This paper examines the effect of media coverage on the stock price informativeness of Chinese A-share listed companies.Using a sample of 5608 firm-year observations during the period of 2003-2011, we find evidence that the media coverage can significantly increase the amount of firm-specific information incorporated into share prices, indicating that the more media coverage a firm receives, the more informative its stock price is.As a result, our findings suggest that the media coverage is playing a positive role on the effectiveness of Chinese stock markets.国家自然科学基金青年项目(编号:71202061); 福建省社科规划青年项目(编号:2012C027)的资
