Industry-level media tone and the cross-section of stock returns

Tao Huang and Xueyong Zhang

International Review of Economics & Finance, 2022, vol. 77, issue C, 59-77

Abstract: This paper investigates the cross-sectional relation between industry-level media tone and expected stock returns in China. Using a machine learning technique to establish a proxy for industry-level media tone, we find that stocks in industries with more positive media tone earn significantly higher future returns than these with more negative media tone. Specifically, relative to stock-specific media tone, industry media tone plays a dominant role in forecasting stock returns. Moreover, the return premium for higher industry-level media tone continues for two months, and the returns are positive though insignificant within half a year, indicating that the media contains fundamental information.

Keywords: Media tone; Stock return; Industry; News; Investor sentiment (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:77:y:2022:i:c:p:59-77

DOI: 10.1016/j.iref.2021.09.002

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