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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

Abstract: 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)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:116-123

DOI: 10.1016/j.frl.2019.03.030

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