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Firm-specific new media sentiment and price synchronicity

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  • Zhang, Zuochao
  • Shen, Dehua

Abstract

With the newly available data on firm-specific new media sentiment, we empirically show that: (1) there exists a positive relationship between new media sentiment and price synchronicity; (2) there exists a negative relationship between volatility of new media sentiment and price synchronicity. These findings suggest that investors may pay more attention to firm-specific information when the volatility of sentiment is high. The results are robust to alternative types of news, alternation proxies, alternative model specifications, and subperiod analysis.

Suggested Citation

  • Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    • Handle: RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000357
    DOI: 10.1016/j.ribaf.2024.102243
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