China's stock market is a policy-driven market, which is eager to get any signals about the monetary policy. Due to its limited independence, the People’s Bank of China (PBC) prefer to release ambiguous information with multiple sentiments at the single communication to the public. This paper...

This paper explores the cross-sectional asset pricing implications of the ambiguity of central bank communication through the dispersion of multiple policy stances in a single communication. By distinguishing different sentiments for each communication event with a field-specific lexicon, we...