Social-media and intraday stock returns: The pricing power of sentiment
David Broadstock () and
Dayong Zhang ()
Finance Research Letters, 2019, vol. 30, issue C, 116-123
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.
Keywords: Textual analysis; Social-media; Sentiment; Asset pricing; Intraday (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:116-123
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().