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.
|Number of pages||8|
|Journal||Finance Research Letters|
|Publication status||Published - Sept 2019|
- Asset pricing
- Textual analysis
ASJC Scopus subject areas