IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v61y2025i13p4098-4123.html
   My bibliography  Save this article

Social Media Sentiment Beta and the Cross-Section of Stock Returns: Evidence from China

Author

Listed:
  • Guanglong Xu
  • Helong Li
  • Hongqing Teng

Abstract

This paper investigates the role of social media sentiment beta on individual stock returns in China. We demonstrate that low social media sentiment beta portfolios can yield higher excess returns. Besides, the effect of social media sentiment beta is asymmetric across different firm sizes, with a more prominent effect on small firms. The Fama-MacBeth regression further confirms that, even after controlling for other determinants, there is a significant negative correlation between sentiment beta and expected stock returns. Our findings remain robust across a range of tests. Collectively, our study documents a low social media sentiment beta anomaly in the Chinese stock market.

Suggested Citation

  • Guanglong Xu & Helong Li & Hongqing Teng, 2025. "Social Media Sentiment Beta and the Cross-Section of Stock Returns: Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 61(13), pages 4098-4123, October.
    • Handle: RePEc:mes:emfitr:v:61:y:2025:i:13:p:4098-4123
    DOI: 10.1080/1540496X.2025.2467205
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2025.2467205
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2025.2467205?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
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    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:mes:emfitr:v:61:y:2025:i:13:p:4098-4123. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    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.