EconPapers    
Economics at your fingertips  
 

Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair

Alasdair Brown, Dooruj Rambaccussing (), J Reade () and Giambattista Rossi ()

No 293, Dundee Discussion Papers in Economics from Economic Studies, University of Dundee

Abstract: Information extracted from social media has been used by academics, and increasingly by practitioners, to predict stock returns. But to what extent does social media output predict asset fundamentals, and not simply short-term returns? In this paper we analyse 13.8m posts on Twitter, and high-frequency betting data from Betfair, concerning English Premier League soccer matches in 2013/14. Crucially, asset fundamentals are revealed at the end of play. We find that the Tweets of certain journalists, and the tone of all Tweets, contain fundamental information not revealed in betting prices. In particular, Tweets aid in the interpretation of news during matches.

Keywords: social media; prediction markets; fundamentals; sentiment; mispricing (search for similar items in EconPapers)
JEL-codes: G14 G17 (search for similar items in EconPapers)
Date: 2016-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.dundee.ac.uk/media/dundeewebsite/econom ... cussion/DDPE_293.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.dundee.ac.uk/media/dundeewebsite/economicstudies/documents/discussion/DDPE_293.pdf [301 Moved Permanently]--> https://www.dundee.ac.uk/media/dundeewebsite/economicstudies/documents/discussion/DDPE_293.pdf [301 Moved Permanently]--> http://www.dundee.ac.uk/media/dundeewebsite/schoolofbusiness/research/discussionpapers/DDPE_293.pdf [301 Moved Permanently]--> https://www.dundee.ac.uk/media/dundeewebsite/schoolofbusiness/research/discussionpapers/DDPE_293.pdf)

Related works:
Working Paper: Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dun:dpaper:293

Access Statistics for this paper

More papers in Dundee Discussion Papers in Economics from Economic Studies, University of Dundee Contact information at EDIRC.
Bibliographic data for series maintained by Andrzej Kwiatkowski ().

 
Page updated 2019-04-20
Handle: RePEc:dun:dpaper:293