Does online media attention improve China’s green fund performance?
Abstract
This study investigates the relationship between online media attention and the performance of China’s green funds. The results show that increased media attention can boost the performance of green funds in the short term, however, this effect is short-lived. The mechanism of short-term positive effects may be due to increased media attention leading to larger purchases, which may undermine funds’ long-term performance. In particular, online media attention has a greater impact on larger and older funds. Moreover, it indicates that media attention reduces the returns of individual investor-dominated funds, but has little effect on institutional investor-dominated funds.
Keyword : green funds, long-term performance, short-term performance, media attention, individual investors, Chinese financial market
How to Cite
Xiao, Y., Qiao, H., & Xie, T. (2024). Does online media attention improve China’s green fund performance?. Journal of Business Economics and Management, 25(3), 455–473. https://doi.org/10.3846/jbem.2024.16042
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
Aboody, D., & Kasznik, R. (2000). CEO stock option awards and the timing of corporate voluntary disclosures. Journal of Accounting and Economics, 29(1), 73–100. https://doi.org/10.1016/S0165-4101(00)00014-8
Almazan, A., Hartzell, J. C., & Starks, L. T. (2005). Active institutional shareholders and costs of monitoring: Evidence from executive compensation. Financial Management, 34(4), 5–34. https://doi.org/10.1111/j.1755-053X.2005.tb00116.x
Ball-Rokeach, S. J., & DeFleur, M. L. (1976). A dependency model of mass-media effects. Communication Research, 3(1), 3–21. https://doi.org/10.1177/009365027600300101
Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The Journal of Finance, 55(2), 773–806. https://doi.org/10.1111/0022-1082.00226
Barber, B. M., Odean, T., & Zhu, N. (2009a). Do retail trades move markets? The Review of Financial Studies, 22(1), 151–186. https://doi.org/10.1093/rfs/hhn035
Barber, B. M., Odean, T., & Zhu, N. (2009b). Systematic noise. Journal of Financial Markets, 12(4), 547–569. https://doi.org/10.1016/j.finmar.2009.03.003
Ben-David, I., Franzoni, F., Kim, B., & Moussawi, R. (2021). Competition for attention in the ETF space (Working Paper 28369). National Bureau of Economic Research. https://doi.org/10.3386/w28369
Berger, A. N., & Udell, G. F. (2006). A more complete conceptual framework for SME finance. Journal of Banking & Finance, 30(11), 2945–2966. https://doi.org/10.1016/j.jbankfin.2006.05.008
Campbell, J. P., McCloy, R. A., Oppler, S. H., & Sager, C. E. (1993). A theory of performance. In N. Schmitt & W. C. Borman (Eds.), Personnel selection in organizations (pp. 35–70). Jossey-Bass Publishers.
Cormier, D., Magnan, M., & Morard, B. (1993). The impact of corporate pollution on market valuation: Some empirical evidence. Ecological Economics, 8(2), 135–155. https://doi.org/10.1016/0921-8009(93)90041-4
Da, Z., Engelberg, J., & Gao, P. (2015). The sum of all FEARS investor sentiment and asset prices. The Review of Financial Studies, 28(1), 1–32. https://doi.org/10.1093/rfs/hhu072
Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. The Journal of Finance, 53(6), 1839–1885. https://doi.org/10.1111/0022-1082.00077
Daniel, K., Hirshleifer, D., & Teoh, S. H. (2002). Investor psychology in capital markets: Evidence and policy implications. Journal of Monetary Economics, 49(1), 139–209. https://doi.org/10.1016/S0304-3932(01)00091-5
DellaVigna, S., & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. The Journal of Finance, 64(2), 709–749. https://doi.org/10.1111/j.1540-6261.2009.01447.x
Dimpfl, T., & Jank, S. (2016). Can internet search queries help to predict stock market volatility? European Financial Management, 22(2), 171–192. https://doi.org/10.1111/eufm.12058
Drake, M. S., Roulstone, D. T., & Thornock, J. R. (2012). Investor information demand: Evidence from Google searches around earnings announcements. Journal of Accounting Research, 50(4), 1001–1040. https://doi.org/10.1111/j.1475-679X.2012.00443.x
Duz Tan, S., & Tas, O. (2021). Social media sentiment in international stock returns and trading activity. Journal of Behavioral Finance, 22(2), 221–234. https://doi.org/10.1080/15427560.2020.1772261
Dyakov, T., & Wipplinger, E. (2020). Institutional ownership and future stock returns: An international perspective. International Review of Finance, 20(1), 235–245. https://doi.org/10.1111/irfi.12203
Dyck, I. J. A., Volchkova, N., & Zingales, L. (2008). The corporate governance role of the media: Evidence from Russia. Journal of Finance, 63(3), 1093–1135. https://doi.org/10.1111/j.1540-6261.2008.01353.x
Easley, D., Hvidkjaer, S., & O’hara, M. (2002). Is information risk a determinant of asset returns? The Journal of Finance, 57(5), 2185–2221. https://doi.org/10.1111/1540-6261.00493
El Ouadghiri, I., Guesmi, K., Peillex, J., & Ziegler, A. (2021). Public attention to environmental issues and stock market returns. Ecological Economics, 180, Article 106836. https://doi.org/10.1016/j.ecolecon.2020.106836
Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461–1499. https://doi.org/10.1111/j.1540-6261.2011.01679.x
Engelberg, J. E., & Parsons, C. A. (2011). The causal impact of media in financial markets. The Journal of Finance, 66(1), 67–97. https://doi.org/10.1111/j.1540-6261.2010.01626.x
Fan, R., Talavera, O., & Tran, V. (2020). Social media, political uncertainty, and stock markets. Review of Quantitative Finance and Accounting, 55(3), 1137–1153. https://doi.org/10.1007/s11156-020-00870-4
Fang, L., & Peress, J. (2009). Media coverage and the cross-section of stock returns. The Journal of Finance, 64(5), 2023–2052. https://doi.org/10.1111/j.1540-6261.2009.01493.x
Fang, L. H., Peress, J., & Zheng, L. (2014). Does media coverage of stocks affect mutual funds’ trading and performance? The Review of Financial Studies, 27(12), 3441– 3466. https://doi.org/10.1093/rfs/hhu056
Ge, Y., Qiu, J., Liu, Z., Gu, W., & Xu, L. (2020). Beyond negative and positive: Exploring the effects of emotions in social media during the stock market crash. Information Processing & Management, 57(4), Article 102218. https://doi.org/10.1016/j.ipm.2020.102218
Hartzmark, S. M., & Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. Journal of Finance, 74(6), 2789–2837. https://doi.org/10.1111/jofi.12841
Hirshleifer, D. A., Myers, J. N., Myers, L. A., & Teoh, S. H. (2008). Do individual investors cause post-earnings announcement drift? Direct evidence from personal trades. The Accounting Review, 83(6), 1521–1550. https://doi.org/10.2308/accr.2008.83.6.1521
Hudson, N. J., Reverter, A., & Dalrymple, B. P. (2009). A differential wiring analysis of expression data correctly identifies the gene containing the causal mutation. PLoS Computational Biology, 5(5), Article e1000382. https://doi.org/10.1371/journal.pcbi.1000382
Kahneman, D. (1973). Attention and effort. Citeseer.
Kaniel, R., Saar, G., & Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1), 273–310. https://doi.org/10.1111/j.1540-6261.2008.01316.x
Kong, G., Kong, D., & Wang, M. (2020). Does media attention affect firms’ environmental protection efforts? Evidence from China. The Singapore Economic Review, 65(03), 577–600. https://doi.org/10.1142/S021759081741003X
Marti‐Ballester, C. P. (2019). The role of mutual funds in the sustainable energy sector. Business Strategy and the Environment, 28(6), 1107–1120. https://doi.org/10.1002/bse.2305
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The Journal of Finance, 42(3), 483–510. https://doi.org/10.1111/j.1540-6261.1987.tb04565.x
Sadka, R. (2006). Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. Journal of Financial Economics, 80(2), 309–349. https://doi.org/10.1016/j.jfineco.2005.04.005
Seasholes, M. S., & Wu, G. (2007). Predictable behavior, profits, and attention. Journal of Empirical Finance, 14(5), 590–610. https://doi.org/10.1016/j.jempfin.2007.03.002
Shiller, R. J. (1999). Human behavior and the efficiency of the financial system. Handbook of Macroeconomics, 1, 1305–1340. https://doi.org/10.1016/S1574-0048(99)10033-8
Vega, C. (2006). Stock price reaction to public and private information. Journal of Financial Economics, 82(1), 103–133. https://doi.org/10.1016/j.jfineco.2005.07.011
Vozlyublennaia, N. (2014). Investor attention, index performance, and return predictability. Journal of Banking & Finance, 41, 17–35. https://doi.org/10.1016/j.jbankfin.2013.12.010
Zhang, Y., Chu, G., & Shen, D. (2021). The role of investor attention in predicting stock prices: The long short-term memory networks perspective. Finance Research Letters, 38, Article 101484. https://doi.org/10.1016/j.frl.2020.101484
Almazan, A., Hartzell, J. C., & Starks, L. T. (2005). Active institutional shareholders and costs of monitoring: Evidence from executive compensation. Financial Management, 34(4), 5–34. https://doi.org/10.1111/j.1755-053X.2005.tb00116.x
Ball-Rokeach, S. J., & DeFleur, M. L. (1976). A dependency model of mass-media effects. Communication Research, 3(1), 3–21. https://doi.org/10.1177/009365027600300101
Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The Journal of Finance, 55(2), 773–806. https://doi.org/10.1111/0022-1082.00226
Barber, B. M., Odean, T., & Zhu, N. (2009a). Do retail trades move markets? The Review of Financial Studies, 22(1), 151–186. https://doi.org/10.1093/rfs/hhn035
Barber, B. M., Odean, T., & Zhu, N. (2009b). Systematic noise. Journal of Financial Markets, 12(4), 547–569. https://doi.org/10.1016/j.finmar.2009.03.003
Ben-David, I., Franzoni, F., Kim, B., & Moussawi, R. (2021). Competition for attention in the ETF space (Working Paper 28369). National Bureau of Economic Research. https://doi.org/10.3386/w28369
Berger, A. N., & Udell, G. F. (2006). A more complete conceptual framework for SME finance. Journal of Banking & Finance, 30(11), 2945–2966. https://doi.org/10.1016/j.jbankfin.2006.05.008
Campbell, J. P., McCloy, R. A., Oppler, S. H., & Sager, C. E. (1993). A theory of performance. In N. Schmitt & W. C. Borman (Eds.), Personnel selection in organizations (pp. 35–70). Jossey-Bass Publishers.
Cormier, D., Magnan, M., & Morard, B. (1993). The impact of corporate pollution on market valuation: Some empirical evidence. Ecological Economics, 8(2), 135–155. https://doi.org/10.1016/0921-8009(93)90041-4
Da, Z., Engelberg, J., & Gao, P. (2015). The sum of all FEARS investor sentiment and asset prices. The Review of Financial Studies, 28(1), 1–32. https://doi.org/10.1093/rfs/hhu072
Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. The Journal of Finance, 53(6), 1839–1885. https://doi.org/10.1111/0022-1082.00077
Daniel, K., Hirshleifer, D., & Teoh, S. H. (2002). Investor psychology in capital markets: Evidence and policy implications. Journal of Monetary Economics, 49(1), 139–209. https://doi.org/10.1016/S0304-3932(01)00091-5
DellaVigna, S., & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. The Journal of Finance, 64(2), 709–749. https://doi.org/10.1111/j.1540-6261.2009.01447.x
Dimpfl, T., & Jank, S. (2016). Can internet search queries help to predict stock market volatility? European Financial Management, 22(2), 171–192. https://doi.org/10.1111/eufm.12058
Drake, M. S., Roulstone, D. T., & Thornock, J. R. (2012). Investor information demand: Evidence from Google searches around earnings announcements. Journal of Accounting Research, 50(4), 1001–1040. https://doi.org/10.1111/j.1475-679X.2012.00443.x
Duz Tan, S., & Tas, O. (2021). Social media sentiment in international stock returns and trading activity. Journal of Behavioral Finance, 22(2), 221–234. https://doi.org/10.1080/15427560.2020.1772261
Dyakov, T., & Wipplinger, E. (2020). Institutional ownership and future stock returns: An international perspective. International Review of Finance, 20(1), 235–245. https://doi.org/10.1111/irfi.12203
Dyck, I. J. A., Volchkova, N., & Zingales, L. (2008). The corporate governance role of the media: Evidence from Russia. Journal of Finance, 63(3), 1093–1135. https://doi.org/10.1111/j.1540-6261.2008.01353.x
Easley, D., Hvidkjaer, S., & O’hara, M. (2002). Is information risk a determinant of asset returns? The Journal of Finance, 57(5), 2185–2221. https://doi.org/10.1111/1540-6261.00493
El Ouadghiri, I., Guesmi, K., Peillex, J., & Ziegler, A. (2021). Public attention to environmental issues and stock market returns. Ecological Economics, 180, Article 106836. https://doi.org/10.1016/j.ecolecon.2020.106836
Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461–1499. https://doi.org/10.1111/j.1540-6261.2011.01679.x
Engelberg, J. E., & Parsons, C. A. (2011). The causal impact of media in financial markets. The Journal of Finance, 66(1), 67–97. https://doi.org/10.1111/j.1540-6261.2010.01626.x
Fan, R., Talavera, O., & Tran, V. (2020). Social media, political uncertainty, and stock markets. Review of Quantitative Finance and Accounting, 55(3), 1137–1153. https://doi.org/10.1007/s11156-020-00870-4
Fang, L., & Peress, J. (2009). Media coverage and the cross-section of stock returns. The Journal of Finance, 64(5), 2023–2052. https://doi.org/10.1111/j.1540-6261.2009.01493.x
Fang, L. H., Peress, J., & Zheng, L. (2014). Does media coverage of stocks affect mutual funds’ trading and performance? The Review of Financial Studies, 27(12), 3441– 3466. https://doi.org/10.1093/rfs/hhu056
Ge, Y., Qiu, J., Liu, Z., Gu, W., & Xu, L. (2020). Beyond negative and positive: Exploring the effects of emotions in social media during the stock market crash. Information Processing & Management, 57(4), Article 102218. https://doi.org/10.1016/j.ipm.2020.102218
Hartzmark, S. M., & Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. Journal of Finance, 74(6), 2789–2837. https://doi.org/10.1111/jofi.12841
Hirshleifer, D. A., Myers, J. N., Myers, L. A., & Teoh, S. H. (2008). Do individual investors cause post-earnings announcement drift? Direct evidence from personal trades. The Accounting Review, 83(6), 1521–1550. https://doi.org/10.2308/accr.2008.83.6.1521
Hudson, N. J., Reverter, A., & Dalrymple, B. P. (2009). A differential wiring analysis of expression data correctly identifies the gene containing the causal mutation. PLoS Computational Biology, 5(5), Article e1000382. https://doi.org/10.1371/journal.pcbi.1000382
Kahneman, D. (1973). Attention and effort. Citeseer.
Kaniel, R., Saar, G., & Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1), 273–310. https://doi.org/10.1111/j.1540-6261.2008.01316.x
Kong, G., Kong, D., & Wang, M. (2020). Does media attention affect firms’ environmental protection efforts? Evidence from China. The Singapore Economic Review, 65(03), 577–600. https://doi.org/10.1142/S021759081741003X
Marti‐Ballester, C. P. (2019). The role of mutual funds in the sustainable energy sector. Business Strategy and the Environment, 28(6), 1107–1120. https://doi.org/10.1002/bse.2305
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The Journal of Finance, 42(3), 483–510. https://doi.org/10.1111/j.1540-6261.1987.tb04565.x
Sadka, R. (2006). Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. Journal of Financial Economics, 80(2), 309–349. https://doi.org/10.1016/j.jfineco.2005.04.005
Seasholes, M. S., & Wu, G. (2007). Predictable behavior, profits, and attention. Journal of Empirical Finance, 14(5), 590–610. https://doi.org/10.1016/j.jempfin.2007.03.002
Shiller, R. J. (1999). Human behavior and the efficiency of the financial system. Handbook of Macroeconomics, 1, 1305–1340. https://doi.org/10.1016/S1574-0048(99)10033-8
Vega, C. (2006). Stock price reaction to public and private information. Journal of Financial Economics, 82(1), 103–133. https://doi.org/10.1016/j.jfineco.2005.07.011
Vozlyublennaia, N. (2014). Investor attention, index performance, and return predictability. Journal of Banking & Finance, 41, 17–35. https://doi.org/10.1016/j.jbankfin.2013.12.010
Zhang, Y., Chu, G., & Shen, D. (2021). The role of investor attention in predicting stock prices: The long short-term memory networks perspective. Finance Research Letters, 38, Article 101484. https://doi.org/10.1016/j.frl.2020.101484