Does the Market Listen to the Government? Evidence from China Central Television. (20th May 2020)

• Record Type: Journal Article
• Authors: Hong, Yun; Jiang, Yanhui
• Is Part Of: Asia-Pacific journal of financial studies. Volume 49:Number 3(2020:Jun.)
• Page Start: 438
• Page End: 462
• Publication Date: 2020-05-20
• Subjects: CCTV News -- Cross‐section of stock returns -- Influence mechanism -- Out‐of‐sample forecasting -- Return predictability; Pacific Area -- Economic conditions -- Periodicals; Finance -- Asia -- Periodicals; Finance -- Pacific Area -- Periodicals; Asia -- Economic conditions -- Periodicals; 332.09505
• DOI: 10.1111/ajfs.12296
• Languages: English
• ISSNs: 2041-9945

Abstract

Abstract: This study explores the asset‐pricing function of CCTV (China Central Television) News in China. Results show that the economic focus and economic tone of CCTV News positively predict future aggregate stock market returns. We also find that the CCTV News economic focus betas and tone betas are positively related to cross‐sectional excess returns. The influence mechanism tests indicate that institutional investors decipher and absorb information from CCTV News faster and more effectively than retail investors. Finally, informed traders' and analysts' positive responses to CCTV News may partly explain the short‐term stock market reaction.