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The textual similarity of news content and stock return synchronicity

Author

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  • Huang, Rui
  • Chen, Xing
  • Wu, Chongfeng

Abstract

This paper examines the relationship between news content and stock price movement in the Chinese stock market, proving that higher textual similarity of firm news to peers is accompanied with less idiosyncratic information and stronger stock return synchronicity. Our findings remain robust after applying the firm fixed effects, using the PSM method, expanding sample windows, and introducing instrumental variables. Additionally, the effect is pronounced for firms with poor information environments and high investor attention, in bull markets and under conditions of lower uncertainty. The effect varies depending on the authority of the news publishers and the themes of the news narratives.

Suggested Citation

  • Huang, Rui & Chen, Xing & Wu, Chongfeng, 2025. "The textual similarity of news content and stock return synchronicity," Emerging Markets Review, Elsevier, vol. 67(C).
    • Handle: RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000585
    DOI: 10.1016/j.ememar.2025.101309
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    More about this item

    Keywords

    News content; Textual analysis; Stock return synchronicity; Asset pricing;
    All these keywords.

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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