Stock Returns and Investor Sentiment: Textual Analysis and Social Media

Zachary McGurk, Adam Nowak and Joshua Hall
Additional contact information
Zachary McGurk: Canisus College
Adam Nowak: West Virginia University

No 19-03, Working Papers from Department of Economics, West Virginia University

Abstract: The behavioral finance literature has found that investor sentiment has predictive ability for equity returns. This differs from standard finance theory, which provides no role for investor sentiment. We examine the relationship between investor sentiment and stock returns by employing textual analysis on social media posts. We find that our investor sentiment measure has a positive and significant effect on abnormal stock returns. These findings are consistent across a number of different models and specifications, providing further evidence against non-behavioral theories.

Keywords: Investor sentiment; supervised learning; stock returns; social media; sufficient reduction; predictive regression (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wvu:wpaper:19-03

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