News Textual Sentiment and Hog Firms’ Performance Under African Swine Fever

Abstract

ABSTRACT African swine fever (ASF) first broke out in China in August 2018 and triggered a substantial shock to the Chinese hog industry. Based on daily data from August 3, 2018, to May 30, 2020, we construct ASF news textual sentiment as a measurement indicator for the ASF epidemic and use a quantile regression model to examine the impacts of ASF news textual sentiment on the stock returns of hog firms. To assess the sentiment effect across periods, we divide the whole sample into three periods according to the trend in hog prices. Our results indicate that ASF news textual sentiment has a significant positive effect on stock returns across the period, but the effect varies across the three periods. In the stationary period, the sentiment has a significant positive effect on stock returns; the effect is reversed in rising and fluctuating periods. In addition, the sentiment effect varies across quantiles. The sentiment has asymmetric effects on stock returns, with a greater impact on higher returns. Our results suggest that opportunities to expand in scale and upgrade biological prevention and control on Chinese hog firms have long-term positive impacts on the development of the hog industry by ASF.