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

被引：100
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
收藏
页码：116 / 123
页数：8
相关论文
共 50 条
  • [31] Terrorism activity, investor sentiment, and stock returns
    Drakos, Konstantinos
    REVIEW OF FINANCIAL ECONOMICS, 2010, 19 (03) : 128 - 135
  • [32] Institutional investor sentiment and aggregate stock returns
    Gao, Xiang
    Gu, Chen
    Koedijk, Kees
    EUROPEAN FINANCIAL MANAGEMENT, 2021, 27 (05) : 899 - 924
  • [33] Sentiment and stock returns: The SAD anomaly revisited
    Kelly, Patrick J.
    Meschke, Felix
    JOURNAL OF BANKING & FINANCE, 2010, 34 (06) : 1308 - 1326
  • [34] Analyzing the Impact of Investor Sentiment in Social Media to Stock Return: Survival Analysis Approach
    Rizkiana, A.
    Sari, H.
    Hardjomijojo, P.
    Prihartono, B.
    Yudhistira, T.
    2017 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT (IEEM), 2017, : 519 - 523
  • [35] Sentiment Expression via Emoticons on Social Media
    Wang, Hao
    Castanon, Jorge A.
    PROCEEDINGS 2015 IEEE INTERNATIONAL CONFERENCE ON BIG DATA, 2015, : 2404 - 2408
  • [36] The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility
    Behrendt, Simon
    Schmidt, Alexander
    JOURNAL OF BANKING & FINANCE, 2018, 96 : 355 - 367
  • [37] The neglected cohort: The impact of silent majority in social media on stock returns
    Long, Wen
    Zhong, Yanqiang
    FINANCE RESEARCH LETTERS, 2023, 52
  • [38] Local information advantage and stock returns: Evidence from social media
    Huang, Yuqin
    Li, Feng
    Li, Tong
    Lin, Tse-Chun
    CONTEMPORARY ACCOUNTING RESEARCH, 2024, 41 (02) : 1089 - 1119
  • [39] Sentiment indices and stock returns: Evidence from China
    Xu, Yongan
    Wang, Jianqiong
    Chen, Zhonglu
    Liang, Chao
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (01) : 1063 - 1080
  • [40] Effect of social media sentiment on donations received by NPOS
    Gandia, Juan L.
    Huguet, David
    SOCIAL NETWORK ANALYSIS AND MINING, 2024, 14 (01)
12345