Media-based investor sentiment and stock returns: a textual analysis based on newspapers

Yu He, Linshan Qu, Ran Wei and Xuankai Zhao

Applied Economics, 2022, vol. 54, issue 7, 774-792

Abstract: This study constructs a media-based investor sentiment index based on a textual analysis of China’s leading financial newspapers. We employ both the Word2Vec technique and the dictionary method to measure the aggregate textual tone in the media news. Based on a sample of publicly listed A-share firms in China, we document that media-based sentiment is positively (negatively) related to the cross-section of stock returns over a short (long) horizon. Further analysis shows that higher information quality, measured by more analyst coverage, better audit opinions and non-governmental ownership could mitigate the effects of sentiment. Overall, our findings imply that media news contains important information for measuring the overall investor sentiment that drives the future stock price up in the short term and then down in the long term.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2021.1966369 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:54:y:2022:i:7:p:774-792

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2021.1966369

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().