投信與媒體在年底的新聞操弄

Abstract

本篇論文主要探討投信是否會利用媒體發佈新聞，以拉抬自身的投資組合的成分股股價，本篇論文以投信較有動機的季底以及年底的期間作為驗證，並以從2010年初到2021年底的週資料進行研究。本篇論文發現在年底當週分析師少、市值小的公司的負面字眼的比例與投信對該股的持有比例成負相關，並且分析師少、市值小的公司在年底當週的新聞負面字眼比例顯著小於年底前一週以及隔年第一週，顯示出投信與新聞媒體的潛在勾結模式，其模式為在年底當週發佈較多篇數的負面字眼比較低的新聞，以提升投信公司的成分股當中的股價，並且如果在年底當週的前一週買進投信有持股的分析師少、市值小的公司並在年底的下一週賣出建構交易策略，此策略有顯著的正報酬。

This paper discusses whether Taiwan's mutual fund companies use the media to release news to boost their portfolio's component stock prices. The paper finds that the percentage of negative words of all articles for companies with few analysts and small market capitalization in the year-end week is negatively correlated with the mutual funds’ ownership of the stock, and that the number of news articles for companies with few analysts and small market capitalization in the year-end week is significantly larger than in the week before and the week after the year-end, finding that the collusion pattern between mutual funds and the news medias is to release less negative wording in the year-end week to boost the company's stock price. Also, this strategy has a significant positive payoff if the analysts with small market capitalization buy the week before the year-end week and sell the following week of the year-end week.