Social-media and intraday stock returns: The pricing power of sentiment

David C. Broadstock, Dayong Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

99 Citations (Scopus)


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 languageEnglish
Pages (from-to)116-123
Number of pages8
JournalFinance Research Letters
Publication statusPublished - Sept 2019


  • Asset pricing
  • Intraday
  • Sentiment
  • Social-media
  • Textual analysis

ASJC Scopus subject areas

  • Finance


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