Abstract
AbstractThis 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.
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