Social media sentiment and market behavior

被引：17

作者：

Affuso, Ermanno ^{[1
]}

Lahtinen, Kyre Dane ^{[2
]}

机构：

[1] Univ S Alabama, Mitchell Coll Business 314, Mobile, AL 36688 USA

[2] Univ S Alabama, Mitchell Coll Business 331, Mobile, AL 36688 USA

来源：

EMPIRICAL ECONOMICS | 2019年 / 57卷 / 01期

关键词：

Behavioral finance; Endogenous switching; Big data; Twitter; Social media; INVESTOR SENTIMENT; INFORMATION; MODEL;

D O I：

10.1007/s00181-018-1430-y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the impact of investor sentiment and geography on stock returns. We measure investor sentiment and location using direct measures derived from Twitter posts. We find Twitter sentiment is among important factors that can have an impact on stock returns. Negative tweets have a larger impact than positive tweets. The direct effect of sentiment on daily returns is an economically significant 0.036 and 0.078% for positive and negative sentiment, respectively. Our results support the Hirshleifer (J Finance 56(4):1533-1597, 2001) premise that both risk and misvaluation are important to asset pricing.

引用

页码：105 / 127

页数：23

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