AI 中文总结
本研究以2015-2025年26家美国大型企业的628万条新闻标题为样本，通过面板回归等方法发现媒体与股价的关系具企业异质性，需从企业层面分析二者互动。
AI 中文摘要
金融新闻是否影响股价，抑或仅反映已纳入股价的信息，仍是金融经济学领域悬而未决的问题。新冠疫情为重新审视这一问题提供了契机，因其以前所未有的规模同时扰乱了新闻报道与金融市场。现有研究大多通过总体情绪指标处理该问题，致使观测到的关系是否在单个企业层面也成立尚不明确。我们利用2015年至2025年间覆盖26家美国大型企业的628万条新闻标题研究该问题，在过滤语料库以保留与企业相关的实质性报道后，构建每日立场指标，并运用面板回归与带数据驱动结构突变的向量自回归，考察2020年冲击前后该指标与股票收益的关系变化。研究结果表明，金融新闻与股票市场的关系比仅通过总体分析得出的结论更为微妙。尽管我们几乎未发现疫情后媒体立场或股票收益存在持续的全市场变化的证据，但部分企业在自身结构突变前后呈现出动态关系。综上，这些结果表明，理解媒体-市场互动需要企业层面的特定分析，并为研究市场条件变化下新闻与股价的互动提供了框架。
英文摘要
Whether financial news influences stock prices or simply reflects information already incorporated into them remains an open question in financial economics. The COVID-19 pandemic provides an opportunity to revisit this question, as it disrupted both news coverage and financial markets on an unprecedented scale. Existing studies have largely approached the problem through aggregate sentiment measures, leaving it unclear whether the observed relationships also hold at the level of individual firms. We study this question using 6.28 million news headlines covering 26 large United States firms between 2015 and 2025. After filtering the corpus to retain materially relevant firm-specific coverage, we construct daily stance measures and examine how their relationship with stock returns changed around the 2020 shock using panel regressions and vector autoregressions with data-driven structural breaks. Our findings indicate that the relationship between financial news and equity markets is more nuanced than aggregate analyses alone suggest. While we find little evidence of a persistent market-wide change in media stance or stock returns following the pandemic, dynamic relationships emerge for a subset of firms around their own structural breaks. Taken together, these results suggest that understanding media-market interactions requires firm specific analysis and provide a framework for studying how news and prices interact under changing market conditions.
