Silence is not golden anymore? Social media activity and stock market valuation in Europe

Christophe Godlewski, Katarzyna Byrka-Kita (), Renata Gola () and Jacek Cypryjanski ()
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Katarzyna Byrka-Kita: Institute of Economics and Finance, Uniwersytet Szczecinski
Renata Gola: Institute of Economics and Finance, Uniwersytet Szczecinski
Jacek Cypryjanski: Institute of Economics and Finance, Uniwersytet Szczecinski

Working Papers of LaRGE Research Center from Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg

Abstract: We investigate the link between social media activity and market valuation of listed European companies over the period January 2018 – June 2020. Using a large novel dataset from 39 European capital markets, we first provide a comprehensive “big picture” of social media activity of European listed companies, using data from all European capital markets. Second, we show that greater Twitter activity is associated with increased shareholders’ returns. Third, we find that portfolios with a larger number of tweets posted by a company exhibit larger market risks. Our findings support the idea that investors should consider social media activity when implementing investment strategies.

Keywords: stock markets; valuation; CAPM; Twitter; social media; investor attention; information asymmetry; disclosure. (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-big, nep-eec, nep-mst and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:lar:wpaper:2022-04

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