Firm-specific new media sentiment and price synchronicity

Zuochao Zhang and Dehua Shen

Research in International Business and Finance, 2024, vol. 69, issue C

Abstract: With the newly available data on firm-specific new media sentiment, we empirically show that: (1) there exists a positive relationship between new media sentiment and price synchronicity; (2) there exists a negative relationship between volatility of new media sentiment and price synchronicity. These findings suggest that investors may pay more attention to firm-specific information when the volatility of sentiment is high. The results are robust to alternative types of news, alternation proxies, alternative model specifications, and subperiod analysis.

Keywords: Stock price synchronicity; Investor Sentiment; New media; Stock price informativeness (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000357

DOI: 10.1016/j.ribaf.2024.102243

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