媒体作为投资者重要的信息来源，新闻情绪能够通过投资者向市场传导并影响股票市场收益率，但是目前国内研究主要集中于媒体情绪对于股票市场的宏观指数收益率的同质化影响，对于异质性媒体的影响差异化和影响非线性问题研究较少，且缺少基于个股数据、行业板块数据下的比较分析，本文以异质性媒体的新闻情绪对股票市场收益率影响的差异性和非线性问题为研究重点，基于媒体在信号链位置、利益代表集团差异，将国内媒体分为报刊媒体、网络媒体和股吧，采用宏观（市场指数）、中观（行业板块）、微观（个股数据）数据相结合，通过对不同颗粒度的数据下研究结论的共性和差异性进行比较分析，对新闻情绪影响股票市场收益率的异质性成因进行阐释。基于此，本文搜索整理了合计2226万条的覆盖2018-2022年间国内涉及上市公司的全量报刊新闻、网络新闻和雪球新闻，并将全部新闻数据与A股上市公司数据匹配，定量分析了异质性媒体的新闻对股票市场收益率的差异化影响。研究结果表明：（1）媒体情绪对当期股票市场收益率具有正向影响，但对于未来期股票市场收益率具有反向修正性，且异质性媒体间情绪分歧会降低股票市场收益率。（2）媒体情绪对于股票市场收益率存在非线性影响且具有情绪拐点，情绪拐点的分布与新闻内容所属行业的行业日常情绪均值呈现正相关性，行业的高速增长性从定价机制上能够有效熨平当期较高的市场情绪，因此，在日常情绪均值较高的热门行业具有更高的情绪拐点。（3）异质性媒体在不同文章影响力下、不同行业热度下对股票收益率影响具有差异性，并基于异质性媒体的情绪分布规律、传播媒介差异，从机制上对异质性媒体在市场解释能力、传导速度上产生差异进行分析。本文深入分析了国内层次化的媒体生态的影响差异性，并对情绪拐点现象的规律和成因进行研究，本文的研究结论对异质性媒体情绪与股票市场收益率的进一步研究提供了经验借鉴。
As a vital source of information for investors, the media plays a crucial role in transmitting news sentiment to the stock market and influencing stock market returns. However, existing research in China has primarily focused on the homogenous impact of media sentiment on macro-level index returns. This study aims to investigate the heterogeneity and non-linear effects of media sentiment on stock market returns, considering the differences in media positioning within the information transmission chain and the representation of interest groups. Specifically, we categorize domestic media into print media, online media, and stock forums and combine macro (market indices), meso (industry sectors), and micro (individual stock) level data to compare and analyze the commonalities and differences in research findings across different granularities. We also provide insights into the causes of heterogeneity in the impact of news sentiment on stock market returns.To achieve this, we collected and analyzed a comprehensive dataset comprising 22.26 million news articles from print media, online media, and stock forums covering the period from 2018 to 2022, which are relevant to listed companies in China. We matched all news data with A-share company data and conducted quantitative analyses to examine the differentiated impact of heterogeneous media sentiment on stock market returns.The research findings indicate that: (1) Media sentiment has a positive impact on contemporaneous stock market returns but exhibits a reverse corrective effect on future stock market returns. Moreover, divergent sentiment among heterogeneous media reduces stock market returns. (2) Media sentiment has a non-linear effect on stock market returns and exhibits sentiment inflection points. The distribution of sentiment inflection points shows a positive correlation with the average daily sentiment of news content within the corresponding industry. (3) Heterogeneous media exhibit differential effects on stock returns based on article influence and industry popularity. The research findings offer valuable insights for further exploration of the relationship between heterogeneous media sentiment and stock market returns.
