【Job Talk】Financial Attention and the Disposition Effect: An Analysis of Attention-grabbing Stocks in the Chinese Stock Market

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• 研討會日期 : 2024-12-13
• 時間 : 10:30
• 主講人 : Professor Bei Qin (秦蓓)
• 地點 : Conference Room B110
• 主持人 : Professor Wen-Tai Hsu
• 演講者簡介 : Professor Bei Qin received her Ph.D. in Economics from Stockholm University in 2013. She is an Associate Professor at the Hong Kong Baptist University. Her research fields are Media Economics, Political Economics, Applied Microeconomics, and Financial Economics. She is applying for our Associate Research Fellow (with tenure) of the Institute of Economics, Academia Sinica now.
• 演講摘要 : Using daily transaction data from over 1.6 million individual Chinese investors between 2005 and 2014, this paper empirically demonstrates a positive relationship between attention and the disposition effect. That is, attention-grabbing stocks (those in the vingtile with the highest returns, highest abnormal trading volumes, or highest abnormal mentions in microblog posts) at the time of purchase tend to have a higher disposition effect than normal stocks. We provide evidence that cognitive dissonance is the mechanism driving this positive relationship. However, this positive relationship decreased or even became negative during the “bubble” period in mainland China (August 2006 to November 2008). This pattern is driven by three factors: (1) more attention is being diverted from attention-grabbing stocks to the market as a whole, (2) investors blame the high spirits of the market, and (3) the urgent need to sell holdings and buy new stocks.
• Introduction of Prof. Qin's ongoing project: Picking the "Right" Drama : Since 2014, the Chinese government has increasingly tightened regulations on television dramas aired on TV channels, aiming to promote the party and socialist values. This study investigates how these policies affect the ideological content of mainland Chinese TV dramas. Using data from 2006 to 2020 and machine learning techniques, the paper measures ideology through two compatible dimensions: commercial and political scores, with higher scores indicating greater desirability by the audience or the government. Findings reveal that the post-2014 tightening of regulations increased the political scores and decreased the commercial scores of TV dramas aired on traditional channels, compared to online dramas. TV and online dramas act as substitutes; stricter TV regulations decrease both commercial and political scores for TV dramas but drive higher scores for online dramas. Meanwhile, the commercial and political dimensions of a drama are complementary, with a decrease in commercial scores not increasing (and often decreasing) political scores. Thus, the tighter TV regulations since 2014 have not successfully promoted political ideology without allowing higher commercial scores, as audiences can turn to online platforms for preferred content. The study also explores how TV channels choose dramas, finding that both ideological scores of dramas aired on channels have dropped dramatically since 2014, while satellite channels, which have the largest market, have reduced their commercial scores much less than other channels. Additionally, the stricter regulations have exaggerated the oligopoly structure of the TV drama industry since 2014.