Social media sentiment and market behavior

Ermanno Affuso and Kyre Dane Lahtinen
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Kyre Dane Lahtinen: University of South Alabama

Empirical Economics, 2019, vol. 57, issue 1, No 5, 105-127

Abstract: Abstract This paper examines the impact of investor sentiment and geography on stock returns. We measure investor sentiment and location using direct measures derived from Twitter posts. We find Twitter sentiment is among important factors that can have an impact on stock returns. Negative tweets have a larger impact than positive tweets. The direct effect of sentiment on daily returns is an economically significant 0.036 and 0.078% for positive and negative sentiment, respectively. Our results support the Hirshleifer (J Finance 56(4):1533–1597, 2001) premise that both risk and misvaluation are important to asset pricing.

Keywords: Behavioral finance; Endogenous switching; Big data; Twitter; Social media (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s00181-018-1430-y

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