Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 9, 2022 erstellt
Beschreibung:
This paper investigates the predictability of the firm news tone on stock return in Chinese market. We find that the news tone significantly positively predicts the cross-sectional future return in both short and long horizon. Beyond this, we generally find while the online news could predict future returns both in daily frequency and longer-horizon, the printed information shows no prediction power. The supportive evidences show that the media tend to put more fundamental-related information on their websites. Only the online news predicts the earning surprise and corresponding market reaction. Additionally, the paper news shows predictability for state-own enterprise (SOEs)