MFA RPC news sentiment and stock returns

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-04-12 DOI:10.1016/j.pacfin.2025.102779

Cheng Zhang, Bin Gao, Xiangrong Xu, Mimi Qin

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引用次数: 0

Abstract

Sentiment embedded in the news from the regular press conference of the Chinese Ministry of Foreign Affairs (MFA RPC News Sentiment) can predict stock returns. MFA RPC is the primary channel through which China elaborates its policies and positions in the international political field. Adopting CNN and the dictionary method, we construct the photo-based and text-based sentiment indices to measure MFA RPC News Sentiment based on the daily sample between August 21, 2018 and July 21, 2023. By examining the predictability of MFA RPC News Sentiment on daily stock returns and using panel data regression, we find that MFA RPC News Sentiment significantly predicts the stock returns of listed companies. A significant heterogeneity exists in companies grouped by their features: technology intensity, financing constraint, industry concentration, and overseas income. MFA RPC News Sentiment embedded in photos and texts act as substitutes for each other. Domestic market investor sentiment and international news attitudes towards China positively regulate the mechanisms of MFA RPC News Sentiment in predicting stock returns.

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MFA RPC新闻情绪和股票回报

中国外交部例行新闻发布会（MFA RPC news Sentiment）中嵌入的新闻情绪可以预测股票收益。外交部RPC是中国在国际政治领域阐述政策立场的主要渠道。基于2018年8月21日至2023年7月21日的每日样本，我们采用CNN和字典方法构建了基于照片和基于文本的情感指数来度量MFA RPC新闻情感。通过检验MFA RPC新闻情绪对股票日收益的可预测性，并使用面板数据回归，我们发现MFA RPC新闻情绪对上市公司股票收益具有显著的预测作用。技术强度、融资约束、行业集中度、海外收益等特征分组的企业存在显著的异质性。MFA RPC新闻情感嵌入在照片和文本中，相互替代。国内市场投资者情绪和国际对中国的新闻态度正向调节MFA - RPC新闻情绪预测股票收益的机制。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.