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Cross‐Channel Tone Volatility and Stock Returns in the Chinese Market

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Listed:
  • Xinyue Xue
  • Jianli Wang
  • Minghua Dong
  • Xing Cao

Abstract

We examine whether volatility in textual tone across multiple information channels predicts future stock returns. Using a multi‐source measure of tone volatility for Chinese A‐share firms, we find that firms with higher tone volatility face significantly lower future excess returns. This negative predictability holds after a series of robust tests. Mechanism analyses suggest that the predictive relation operates through greater uncertainty at the corporate level and trading activity. We also show that the effects are weaker for state‐owned firms and for firms audited by Big Four auditors. Overall, our findings demonstrate the importance of tone volatility in asset pricing by considering the divergence of textual tones across different information sources.

Suggested Citation

  • Xinyue Xue & Jianli Wang & Minghua Dong & Xing Cao, 2026. "Cross‐Channel Tone Volatility and Stock Returns in the Chinese Market," International Review of Finance, International Review of Finance Ltd., vol. 26(2), June.
    • Handle: RePEc:bla:irvfin:v:26:y:2026:i:2:n:e70076
    DOI: 10.1111/irfi.70076
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