新闻内容的文本相似性与股票收益的同步性

IF 4.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2025-05-17 DOI:10.1016/j.ememar.2025.101309

Rui Huang, Xing Chen, Chongfeng Wu

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引用次数: 0

摘要

本文考察了中国股市新闻内容与股价变动的关系，证明了企业新闻与同行的文本相似度越高，特质信息越少，股票收益同步性越强。在应用固定效应、使用PSM方法、扩展样本窗口和引入工具变量后，我们的发现仍然是稳健的。此外，对于信息环境差、投资者关注度高的公司，在牛市和不确定性较低的情况下，这种影响是明显的。这种影响因新闻发布者的权威和新闻叙事的主题而异。

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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The textual similarity of news content and stock return synchronicity

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.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.