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.
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