Media tone disagreement and the cross-section of stock returns: Evidence from China

This paper examines the effect of media tone disagreement (MDisa) on cross-sectional stock returns in China using individual stock news data. We find a significant negative correlation between MDisa and stock returns through both portfolio analyses and Fama-MacBeth regressions, even after controlling for well-known determinants. Specifically, portfolios with low MDisa yield higher excess returns than those with high MDisa. Moreover, high-MDisa stocks tend to be smaller, more liquid, younger, exhibit higher betas, and have lower book-to-market ratios. The heterogeneity analysis further reveals that the effect of MDisa is more pronounced for stocks with short-selling constraints and during periods of high media coverage and low media sentiment. Finally, a series of robustness tests also support our findings. Collectively, our study documents a low MDisa anomaly in the Chinese stock market.