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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۲ دارای ۱۹ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H756
سال نشر: ۲۰۲۲
نام ناشر (پایگاه داده): الزویر
نام مجله: International Review of Economics and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۹ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۲ : لحن رسانه ای در سطح صنعت و بازده مقطعی سهام
عنوان کامل انگلیسی:
Industry-level media tone and the cross-section of stock returns
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Abstract
This paper investigates the cross-sectional relation between industry-level media tone and expected stock returns in China. Using a machine learning technique to establish a proxy for industry-level media tone, we find that stocks in industries with more positive media tone earn significantly higher future returns than these with more negative media tone. Specifically, relative to stock-specific media tone, industry media tone plays a dominant role in forecasting stock returns. Moreover, the return premium for higher industry-level media tone continues for two months, and the returns are positive though insignificant within half a year, indicating that the media contains fundamental information.
Keywords: Media tone, Stock return, Industry News, Investor sentiment
۱.Introduction
The role of the media in financial markets has generated increased attention across a number of disciplines in recent years, as media can shape investors’ beliefs and broaden their recognition by conveying information across a variety of channels (Tetlock, 2010; Yin & Tan, 2017). A large number of papers have examined the ability of media tone, as distinct from media coverage, to predict stock returns (Antweiler & Frank, 2004; Sabherwal et al., 2011; Siganos et al., 2014; Leung & Ton, 2015; Fang et al., 2018; Zhu et al., 2018; Calomiris & Mamaysky, 2019). However, investors are more likely to rationally allocate more attention to sector-level information obtained through the media, such as news, than to firm-specific information, as investor attention is a scarce resource (Merton, 1987; Peng & Xiong, 2006; Zhu & Jiang, 2018). Within these sectors, industry is an important style, as both theoretical and empirical asset pricing studies have proved that a wide range of asset pricing phenomena have important industry components (Bustamante, 2015). Quite surprisingly, a number of studies have investigated the relationship between media tone and the cross-section of stock returns at the individual stock-, market-, and country-level, however, there has been little research devoted to industry-based media tone, and this study fills that gap by exploring whether industry-level media tone (ITONE) is a determinant of expected stock returns…
۶.Conclusion
In this study, we examine the relationship between industry-level media tone and the cross-section of stock returns. We proposed a new, direct measure of industry-level media tone based on machine learning techniques. The results document that there is a significant return and risk premium on stocks in industries with higher media tone, even after controlling for well-known firm characteristics, proxies for stock-specific media tone, and industry growth rate. The return premium is primarily driven by investor sentiment, as the effect is more significant for stocks with smaller capitalization and higher individual ownership. Moreover, the effect of stocks pecific media tone on stock returns proven in previous studies is shown to be a substitute for the industry-level media tone defined in this study. In particular, the results also show that a portfolio of stocks with higher ITONE outperforms a portfolio of stocks with lower ITONE by 0.50% per month after adjusting for market, size, book-to-market, momentum, profitability, and investment factors. In addition, we find that an increase in ITONE predicts a positive stock return over the next two months, but lack both economic and statistical meaning from the third month to the sixth month, indicating that there is fundamental information contained in the news articles…