Daily expectations of returns index

Vahid Gholampour

Journal of Empirical Finance, 2019, vol. 54, issue C, 236-252

Abstract: The paper introduces a daily index for expectations of returns based on tweets that express a directional prediction about the stock market index. I develop a dictionary that includes lexicon of traders to identify and classify opinionated tweets. The results show that (1) the Twitter Expectations of Returns Index (TERI) is positively correlated with weekly changes in net long position of investment managers, (2) expectations index of high followers accounts predicts stock market returns, and (3) private information is the primary source of return predictability.

Keywords: Private information; Expectations of returns; Twitter; Stock market (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:54:y:2019:i:c:p:236-252

DOI: 10.1016/j.jempfin.2019.10.004

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