IDEAS home Printed from https://ideas.repec.org/a/eee/beexfi/v46y2025ics2214635025000267.html
   My bibliography  Save this article

Tossed by the tides of emotion: The impact of online media sentiment on stock returns

Author

Listed:
  • Chang, Liang
  • Liang, Xiaojun
  • Tan, Na

Abstract

This study examines the impact of online media sentiment on stock returns using a dataset of over 8.3 million online financial media reports covering Chinese A-share listed companies. The findings reveal that more positive media sentiment towards a company is associated with higher average monthly stock returns. A zero-investment arbitrage strategy, constructed by buying stocks with high media sentiment and selling those with low media sentiment, yields a significant monthly premium of 4%. These effects are particularly pronounced for stocks with higher investor attention and lower liquidity. Moreover, even after controlling for known risk factors or during IPO quiet periods when no new information is introduced, companies with positive media sentiment continue to exhibit higher stock returns. Further analysis shows that media sentiment can explain approximately 4% to 12% of various market anomalies, and the media sentiment premium exhibits return reversals. This research uncovers the unique mechanisms of media effects in emerging markets and provides robust support for the limited attention theory from behavioral finance.

Suggested Citation

  • Chang, Liang & Liang, Xiaojun & Tan, Na, 2025. "Tossed by the tides of emotion: The impact of online media sentiment on stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
    • Handle: RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000267
    DOI: 10.1016/j.jbef.2025.101045
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S2214635025000267
    Download Restriction: no
    File URL: https://libkey.io/10.1016/j.jbef.2025.101045?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Media sentiment; Asset pricing; Limited attention; IPO quiet period;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • L82 - Industrial Organization - - Industry Studies: Services - - - Entertainment; Media

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000267. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/journal-of-behavioral-and-experimental-finance .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.