Abstract
Based on one set of micro-level survey data, we examine impacts of the mass media effect on investor sentiment. The financial information is distributed through three mass media channels. The study reveals that the mass media effect leads to investor sentiment fluctuation, and significantly affects investors’ trading decisions. Moreover, the impacts of media reports are asymmetric: in a rising market, investors pay more attention to optimistic reports and ignore those with a negative signal; by contrast, in a declining market, investors are more vulnerable to pessimistic reports, and reports with active information do not bring a significant effect.
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