The cross section of information transmission in news media and stock returns

Yi Wu and Xinyao Wang

Finance Research Letters, 2024, vol. 67, issue PB

Abstract: This paper examines the correlation between the information dissemination cross-section of news media and stock returns by analyzing monthly news coverage data from well-known Chinese newspapers. We show that firms that receive more media attention in the current month experience higher long-term stock returns in the following months, spanning a year, compared to firms with less media coverage. This suggests that media coverage has a significant and positive impact on sustainable stock returns, especially in markets that are largely driven by individuals or inexperienced investors. Further empirical research has found that analyst ratings have an important positive moderating effect in the Chinese stock market.

Keywords: Cross section of information transmission; News media; Stock returns (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008109

DOI: 10.1016/j.frl.2024.105780

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