Media Sentiment VS. Stock Yields

The most basic function of the media is information dissemination,and its actual operation path is to collect information→ information processing(interpretation)→ information dissemination.In the processing of information,it is inevitable that the processed information will be brought to the subjective attitude of the media,that is,the mood of the media.In the process of information dissemination,in order to attract the audience’s "casual attention",the media often uses novel headlines,stimulating words or subjective opinions to achieve the goal,which further strengthens the emotional tendency of media information dissemination.As a provider of full-service services such as information browsing,opinion interpretation,financial consultation,and market inquiry for the majority of investors,the media sentiment conveyed by financial media will have a significant impact on investors.Therefore,more and more researchers have begun to pay attention to and study the relationship between media sentiment and stock market volatility,which has produced a large number of valuable research results in theoretical analysis and empirical testing.However,the existing literature on media sentiment research,there is still a lack of more subdivided dimensions,the definition of media sentiment is still lost,and it does not reveal the different effects of different types of media sentiment on stock price movement.On the basis of sorting out and summarizing the current research literature on media sentiment,this paper further divides the media into newspaper and periodical financial media and online financial media,and distinguishes media sentiment into expected media sentiment and unexpected media sentiment,and explores the relationship between media sentiment and stock returns in different combinations.First of all,by observing the relationship between media sentiment,expected media sentiment,unexpected media sentiment and stock returns in groups,it is found that the stock yield changes in the same direction as the unexpected media sentiment,and also changes in the same direction as the media sentiment,but there will be abnormal groups in the latter,and the group with the expected media sentiment is closer to the median.Then,through the panel regression of fixed effects,it was found that the regression coefficient between media sentiment and unexpected media sentiment and stock return was positive,while the regression coefficient between expected media sentiment and stock return was negative,and compared with newspaper and periodical financial media,online financial media sentiment had a greater impact on stock returns.Based on the regression results,we further made a zero portfolio,and found that the portfolio constructed by the unexpected media sentiment of the online financial media had the highest winning rate and holding yield,which was more suitable for investors to use as a stock selection indicator.Based on its findings,this paper makes recommendations for investors,listed companies and regulators.For stock investors,it is necessary to pay attention to the various information of listed companies in real time through financial media and other channels,and make or adjust their trading decisions in a timely manner according to the company’s fundamentals and its changes,but also to recognize the characteristics of media sentiment and make independent judgments on the various information conveyed by them.For listed companies,it is necessary to fulfill the statutory obligation of timely,accurate and complete disclosure of information in accordance with the law and compliance,but also to adapt to the public opinion environment of the online media era,pay attention to and manage the media sentiment reported by the relevant company,and prevent the extreme irrational impact of media sentiment on the company’s stock price.For regulators,it is necessary to fully understand the logic and mechanism of media sentiment affecting the market in the era of online media,establish real-time monitoring indicators of media sentiment based on the characteristics of online financial media;while improving the information disclosure system as part of the basic system of the stock market,formulate supporting measures that can effectively control the emotions of financial media,so that investors can obtain more transparent,timely and accurate market information through various financial media.