  This paper investigates the significance of consumer opinions in relation to
value in China's A-share market. By analyzing a large dataset comprising over
18 million product reviews by customers on JD.com, we demonstrate that
sentiments expressed in consumer reviews can influence stock returns,
indicating that consumer opinions contain valuable information that can impact
the stock market. Our findings show that Customer Negative Sentiment Tendency
(CNST) and One-Star Tendency (OST) have a negative effect on expected stock
returns, even after controlling for firm characteristics such as market risk,
illiquidity, idiosyncratic volatility, and asset growth. Further analysis
reveals that the predictive power of CNST is stronger in firms with high
sentiment conditions, growth companies, and firms with lower accounting
transparency. We also find that CNST negatively predicts revenue surprises,
earnings surprises, and cash flow shocks. These results suggest that online
satisfaction derived from big data analysis of customer reviews contains novel
information about firms' fundamentals.
