Social-media and intraday stock returns: The pricing power of sentiment

被引：110

作者：

Broadstock, David C. ^{[1
]}

Zhang, Dayong ^{[2
]}

机构：

[1] Hong Kong Polytech Univ, Ctr Econ Sustainabil & Entrepreneurial Finance, Hong Kong, Peoples R China

[2] Southwestern Univ Finance & Econ, Res Inst Econ & Management, Chengdu, Sichuan, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2019年 / 30卷

基金：

中国国家自然科学基金;

关键词：

Textual analysis; Social-media; Sentiment; Asset pricing; Intraday; TWITTER;

D O I：

10.1016/j.frl.2019.03.030

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper tests whether sentiment extracted from social-media (Twitter), has pricing power towards stock market. Specifically, we evaluate whether firms' intraday stock returns react to sentiment on the firm itself, and/or sentiment on the wider financial market. Using intraday high frequency stock returns for a sample of US companies, we show that price dynamics are susceptible to social-media sentiment pricing factors, with varying balances of importance for firm specific and market wide sentiment.

引用

页码：116 / 123

页数：8

共 15 条

[1]

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