| With the continuous development of China’s economy,although the development time of China’s stock market is relatively short,it has become the second largest stock market in the world.This reflects the importance of China’s stock market.In 2022,in the development of China’s securities market for more than 30 years,A-share listed companies have contributed a lot to China’s economic growth.China’s stock market is developing steadily,and the quality of development is improving simultaneously.As a barometer of the national economy,the stock market not only reflects the changes of the real economy,but also receives the attention of scholars and market participants.To a certain extent,listed companies represent the future development direction of China’s economy,and also inject more momentum into China’s economic development.Therefore,it is particularly important to explore the influencing factors of listed companies.China’s stock market is dominated by retail investors,which not only has a lot of "follow the trend",but also increases the market transaction risk.Investors in China’s stock market are more likely to be affected by sentiment.In this context,it is particularly important to analyze the influencing factors of China’s financial market and the impact of information dissemination on investors.In the information age,there are more and more media information,and the media has become one of the important sources for people to obtain information.With the development of Internet technology,the Internet accelerates the dissemination of media information,improves the efficiency of information dissemination,and further reduces the degree of information asymmetry between people.These media information not only affects people’s lives all the time,but also has a significant impact on investors’ investment decisions and investment behaviors.The transmission of media information into financial markets can also change asset prices.Based on the above realities,it is necessary to understand the media sentiment and clarify the influence of different dimensions of media information on the stock market.This is of theoretical significance not only in helping enrich and deepen the existing theories,but also in providing a new perspective for academic research in related fields.In addition,it is of strong practical significance in helping market regulators to stabilize market development according to news media information content,and also helping news regulators to strengthen news supervision and prevent false information and speech.The existing literature on how news media sentiment affects stock returns is mostly based on the dimension of news media sentiment,but the research starting from the two dimensions of news media disagreement and news sentiment risk are still insufficient.In the case of complex and changeable economic situation,the influencing factors of financial market also have great changes.Therefore,some problems of important theoretical and practical significance still need to be solved,and more in-depth discussion is needed to provide more abundant research,so as to provide reference for future related research.By applying various econometric methods,this paper bases on the micro perspective,carries out theoretical analysis and empirical research on how news media information affects stock returns.This paper strives to enrich and deepen the academic research results through a series of studies,as well as to propose policy recommendations with relevance and feasibility.First of all,in the dimension of analyzing how news media sentiment affects stock returns,this paper based on the quantitative statistical data of news in CNRDS and the data of listed companies in CSMAR,and takes A-share listed companies in Shanghai and Shenzhen stock markets from January 2005 to June 2022 as the research sample.Using linear panel model,static spatial Durbin model and dynamic spatial Durbin model,this paper investigates the impact of news media sentiment on stock returns from the perspectives of overall,different source news media sentiment,time dimension and scale dimension.On the one hand,the current news media sentiment has a positive impact on the stock returns,and the news media sentiment one period behind has a significant negative impact on the stock returns.This indicating that the current news media sentiment will promote the rise of stock prices,while the news media sentiment one period behind will restrain the rise of stock prices.This result shows the reverse effect of sentiment.In addition,by further comparing the influence effect of the current news media sentiment and the news media sentiment one period behind,it is found that the promoting effect of the current news media sentiment on the stock return is significantly higher than the inhibiting effect of the news media sentiment one period behind on the stock return,which indicating that time will weaken the influence effect of sentiment.On the other hand,in the short term,both the short-term direct and shortterm indirect effects of news media sentiment on stock returns are significantly positive.This suggests that in the short term,the news media sentiment of a company has an impact not only on its own stock price,but also on the stock prices of companies in neighboring regions/similar industries.Furthermore,in the long term,the long-term direct effect of news media sentiment on stock returns is significantly positive,but the long-term indirect effect is not significant.This shows that the influence of news media emotions will gradually weaken the "flow friction" caused by the change of geographical radiation radius.Secondly,this paper further analyzes the impact of news media disagreement on stock returns.In the dimension of analyzing how news media disagreement affects stock returns,this paper based on the quantitative statistical data of news in CNRDS and the data of listed companies in CSMAR,and takes A-share listed companies in Shanghai and Shenzhen stock markets from January 2005 to June 2022 as the research sample.The empirical results show that the current news media disagreement has a significant negative impact on the stock returns,and the news media disagreement one period behind has a significant positive impact on the stock returns,which indicating that the current news media disagreement will restrain the rise of stock prices,while the news media disagreement one period behind will promote the rise of stock prices.The inhibitory effect of news media disagreement on stock returns in the current period is obviously lower than the promoting effect of news media disagreement on stock returns in the delayed period,which is different from the results of news media sentiment.This shows the necessity of analyzing the dimension of the news media disagreement.In addition,both the short-term direct and short-term indirect effects of news media disagreement on stock returns are significantly negative,indicating that in the short term,news media opinion differences of a company will not only have an impact on its own stock price,but also on the stock prices of companies in neighboring areas or similar industries.In the long run,the long-term direct effect of news media disagreement on stock returns is significantly negative,but the long-term indirect effect is not significant.A company’s news media disagreement can only affect its own stock price,but no longer affect the stock price of companies in neighboring regions/similar industries.This is similar to the results obtained for the dimension of news media sentiment above.Finally,in the dimension of analyzing the relationship between news sentiment risk and stock returns,this paper based on the quantitative statistical data of news in CNRDS and the data of listed companies in CSMAR,and takes A-share listed companies in Shanghai and Shenzhen stock markets as the research sample.This paper uses rolling regression to construct an innovative index of news sentiment risk,and analyzes the company characteristics and excess returns of different news sentiment risk portfolios.This paper further explores its influence mechanism.On the one hand,from the perspective of corporate characteristics,companies with low news sentiment risk show the characteristics of higher market value,older and lower stock price.In addition,companies with higher news sentiment risk also have lower market risk and volatility.On the other hand,from the perspective of excess return,the portfolio with lower news sentiment risk has higher excess return,which proves that there is a lowrisk pricing anomaly of news sentiment in China’s stock market.This also shows the necessity of this paper to analyze the impact of sentiment risk on the stock market from the perspective of news sentiment risk.This paper further analyzes the cross-sectional effect of news sentiment risk on stock returns and the mechanism of news sentiment risk on stock returns,and finds that corporate information transparency will weaken the impact of news sentiment risk on stock returns.On the basis of existing research,the marginal innovation of this paper is mainly reflected in the following three aspects: first,this paper innovatively constructs the index of news sentiment risk(news sentiment beta),measures the risk from the perspective of news sentiment.This paper analyzes the impact of news sentiment risk on stock returns,and finds the low-risk pricing anomaly of news sentiment in China’s stock market.Existing studies mostly focus on market sentiment risk,while few focus on news sentiment risk.This paper also provides some references for subsequent research on news sentiment risk.Second,this paper includes the spatial effect on the basis of the linear ordinary panel model,and chooses the spatial measurement model for correlation test.In this paper,the static spatial Durbin model and the dynamic spatial Durbin model are used for empirical test.The lag term of stock return is considered to be included in the model to investigate the spatial effect of the explained variable after the delay factor is removed,and to solve the defect that the conventional panel model used in previous studies lacks the ability to explain the spatial effect.Third,this paper deeply characterizes the characteristics of news media sentiment from three dimensions:news media sentiment,news media disagreement and news sentiment risk,makes a more comprehensive analysis.Previous studies mainly measured the characteristics of news media from a certain dimension and analyzed the relationship between it and the stock market.Different dimensions of news media information express different contents.For example,the news media sentiment expresses the positive or negative attitude contained in news media reports,while the news media disagreement represents whether the sentiment expressed by news media is consistent or has a large difference,and the news sentiment risk represents the company’s sensitivity to sentiment. |
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