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Media tone disagreement and the cross-section of stock returns: Evidence from China

Author

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  • Wang, Xiaohui
  • Ye, Wenwen
  • Xu, Guanglong

Abstract

This paper examines the effect of media tone disagreement (MDisa) on cross-sectional stock returns in China using individual stock news data. We find a significant negative correlation between MDisa and stock returns through both portfolio analyses and Fama-MacBeth regressions, even after controlling for well-known determinants. Specifically, portfolios with low MDisa yield higher excess returns than those with high MDisa. Moreover, high-MDisa stocks tend to be smaller, more liquid, younger, exhibit higher betas, and have lower book-to-market ratios. The heterogeneity analysis further reveals that the effect of MDisa is more pronounced for stocks with short-selling constraints and during periods of high media coverage and low media sentiment. Finally, a series of robustness tests also support our findings. Collectively, our study documents a low MDisa anomaly in the Chinese stock market.

Suggested Citation

  • Wang, Xiaohui & Ye, Wenwen & Xu, Guanglong, 2025. "Media tone disagreement and the cross-section of stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 104(C).
    • Handle: RePEc:eee:reveco:v:104:y:2025:i:c:s1059056025009141
    DOI: 10.1016/j.iref.2025.104751
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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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