Investor attention and advisor social media interaction

Tao Guo, Michael Finke and Barry Mulholland

Applied Economics Letters, 2015, vol. 22, issue 4, 261-265

Abstract: In this article, we use a unique data set of financial advisors' daily tweets to study investor attention. We develop an investor attention measure based on tweets between individual investors and their advisors in order to study the relation between investor attention and market fluctuations. Tweet frequency data indicate that investor attention increases on days with larger price fluctuations. Investors pay more attention to smaller gains than to smaller losses. However, attention increases by a greater magnitude for large losses than for large gains. Our findings provide evidence that daily equity return fluctuations are associated with individual investor attention and that large negative returns have the strongest impact on attention.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:22:y:2015:i:4:p:261-265

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DOI: 10.1080/13504851.2014.937030

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