Research On The Impact Of Media Sentiment On Stock Return

The stock market is the most intuitive embodiment of the national economy.With the development of China’s stock market,various policies,systems and mechanisms have gradually stabilized,and some achievements have been made in supporting the real economy.However,it is undeniable that,generally speaking,there are still some practical problems in China’s stock market,such as a large proportion of retail investors,more irrational factors in the stock market,and a large deviation of stock prices from their own value.For individual investors,media reports are the main channel for them to obtain information,and they play an important role in supporting their investment decisions.However,the media cannot always report objectively,and the media reports with tendentious emotions will lead to investors to irrational buy or sell stocks,thus making the stock returns rise or fall in different ranges,and the stock price deviates from its own value.Based on this,it is of great theoretical and practical significance to study the influence of media sentiment on the stock market and its action mechanism to stabilize the financial market.On the basis of combing and summarizing the relevant research at home and abroad,taking the theory of behavioral finance and asset pricing,the emotional index of the network media and the tendency sentiment of the media reports,constructing the fixed effect and random effect model to study the influence of media sentiment on the stock market,and analyze the stability test and heterogeneity of the above empirical results.The empirical results show that: first,the sentiment of newspapers and online media have a positive and significant effect on the excess return rate of stocks,and both have a lag.Second,after adding investor sentiment as a regulating variable,both the emotions of newspaper media and network media are positively regulated by investor sentiment.Thirdly,through the analysis of the heterogeneity of media’s emotions,it is found that positive emotions will have a significant positive impact on the excess return of stocks,while media negative emotions only have a significant negative impact on the excess return of stocks in the lag period;after adding the adjustment variable,only positive emotions can enhance the influence on the excess return of stocks through investor sentiment.Fourthly,through the analysis of the heterogeneity of institutional shareholding,it is found that the stocks held without institutional investors are more positively affected by the media sentiment.After the addition of adjustment variables,investor sentiment has a greater effect on the media sentiment to enhance the excess return rate of stocks held by institutional investors.In addition,the article adds media sentiment as the new pricing factor to the Fama-French five-factor model to construct the new six-factor model in order to improve the explanatory power of the model;meanwhile,grouping A-share portfolio according to scale-book value ratio,scale-investment ability,scale-profitability,and further discusses the influence of media sentiment on the excess yield of each portfolio.The GRS test of the six-factor model and the number of significant items of the regression intercept term suggest that it is meaningful to incorporate media sentiment into the multifactorial model.The stocks are divided into portfolios and grouped: First,from the results of scale-book market value ratio,the newspaper media sentiment has a significant negative impact on the excess return rate of companies in low account market ratio,while the network media sentiment has a positive impact on the excess return rate of small scale and high account market ratio portfolio stocks.Second,from the perspective of the regression results of scale-profitability group,newspaper and media sentiment has a significant impact on the excess return of large-scale and weak profitability investment portfolio,while network media sentiment will have a significant positive impact on the excess return of small-scale companies in the profit group.Thirdly,from the results of the regression of scale and investment ability,the sentiment of newspapers and media has a significant impact on the excess return of stocks of small companies in the investment group,while the sentiment of network media has a significant impact on the excess return of stocks of companies with low investment ability.Finally,according to the above research conclusions and combined with the actual situation of China’s stock market,this paper puts forward policy suggestions for promoting the mature development of China’s stock market from the perspectives of individual investors,news media and market regulators.