Social Media Sentiment Beta and the Cross-Section of Stock Returns: Evidence from China

Guanglong Xu, Helong Li and Hongqing Teng

Emerging Markets Finance and Trade, 2025, vol. 61, issue 13, 4098-4123

Abstract: This paper investigates the role of social media sentiment beta on individual stock returns in China. We demonstrate that low social media sentiment beta portfolios can yield higher excess returns. Besides, the effect of social media sentiment beta is asymmetric across different firm sizes, with a more prominent effect on small firms. The Fama-MacBeth regression further confirms that, even after controlling for other determinants, there is a significant negative correlation between sentiment beta and expected stock returns. Our findings remain robust across a range of tests. Collectively, our study documents a low social media sentiment beta anomaly in the Chinese stock market.

Date: 2025
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DOI: 10.1080/1540496X.2025.2467205

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