Abstract
This paper tests whether sentiment extracted from social-media (Twitter), has pricing power towards stock market. Specifically, we evaluate whether firms’ intraday stock returns react to sentiment on the firm itself, and/or sentiment on the wider financial market. Using intraday high frequency stock returns for a sample of US companies, we show that price dynamics are susceptible to social-media sentiment pricing factors, with varying balances of importance for firm specific and market wide sentiment.
Original language | English |
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Pages (from-to) | 116-123 |
Number of pages | 8 |
Journal | Finance Research Letters |
Volume | 30 |
DOIs | |
Publication status | Published - Sept 2019 |
Keywords
- Asset pricing
- Intraday
- Sentiment
- Social-media
- Textual analysis
ASJC Scopus subject areas
- Finance