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文章检验了中国资本市场中媒体跟踪报道的信息解释和信息挖掘作用。文章首先运用LDA(Latent Dirichlet Allocation)主题模型度量了中国财经媒体对A股上市公司信息披露公告跟踪报道的信息挖掘和信息解释程度,并检验了两者的市场反应。结果显示,媒体跟踪报道的信息解释比信息挖掘更广泛地影响了A股市场投资者,从而导致了更加明显的市场反应。进一步研究发现,媒体跟踪报道的及时性整体较高,并且市场对媒体负面报道内容(而不是正面报道内容)的及时性存在增量反应。这表明媒体普遍会选择主要体现其信息解释角色的快速报道方式,并且投资者认同媒体负面报道内容的及时性追求。上述结果表明,在中国资本市场上,媒体主要通过信息解释角色而不是信息挖掘角色来发挥信息中介作用,即媒体通过及时、较容易理解的信息报道来广泛影响A股市场投资者。
The paper examines the role of information interpretation and information mining in the media tracking reports in Chinese capital markets. Firstly, the article uses LDA (Latent Dirichlet Allocation) thematic model to measure the information mining and information interpretation degree of Chinese financial media on the follow-up report of information disclosure announcement of A-share listed companies, and tests the market reaction of the two. The results show that the media coverage of information interpretation than the information mining more widely affects the A-share market investors, resulting in a more pronounced market reaction. Further research found that the timeliness of media coverage was generally high, and the market response to the timeliness of negative media content (rather than positive media content) increased. This shows that the media generally choose to quickly report the role of its information to explain the rapid reporting, and investors agree that the negative media coverage of the timely pursuit of content. The above results show that in China’s capital market, the media play an intermediary role mainly through information interpretation rather than information mining, that is, the media widely affects investors in A-share markets through timely and easy-to-understand information reporting.