Does Social Media Get Your Attention?

Di Wu

Journal of Behavioral Finance, 2019, vol. 20, issue 2, 213-226

Abstract: The author investigates how social media affects stock prices and post–earnings announcement drift in response to companies’ quarterly earnings announcements. Using quarterly earnings data as well Twitter and StockTwits data, the author utilizes Twitter volume and a residual methodology to generate an attention proxy that is orthogonal to the growth of Twitter accounts. The author finds that the new attention brought by social media after the earnings announcements positively affects the cumulative abnormal returns. Further, even companies reporting bad news can still have positive immediate cumulative abnormal returns if they attract enough attention from investors after an earnings announcement. The new attention effects are different in both magnitudes and statistical significance between social media popular and unpopular industries.

Date: 2019
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DOI: 10.1080/15427560.2018.1505729

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