Abstract

http://ssrn.com/abstract=1702854
 
 

References (68)



 
 

Citations (3)



 


 



Tweets and Trades: The Information Content of Stock Microblogs


Timm O. Sprenger


Technische Universität München (TUM) - School of Management

Isabell M. Welpe


Technische Universität München (TUM) - School of Management

November 1, 2010


Abstract:     
Microblogging forums have become a vibrant online platform to exchange trading ideas and other stock-related information. Using methods from computational linguistics, we analyze roughly 250,000 stock-related microblogging messages, so-called tweets, on a daily basis. We find the sentiment (i.e., bullishness) of tweets to be associated with abnormal stock returns and message volume to predict next-day trading volume. In addition, we analyze the mechanism leading to efficient aggregation of information in microblogging forums. Our results demonstrate that users providing above average investment advice are retweeted (i.e., quoted) more often and have more followers, which amplifies their share of voice in microblogging forums.

Number of Pages in PDF File: 89

Keywords: Twitter, Microblogging, Stock Market, Investor Sentiment, Text Classification, Computational Linguistics

JEL Classification: G12, G14

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Date posted: November 6, 2010 ; Last revised: January 5, 2011

Suggested Citation

Sprenger, Timm O. and Welpe, Isabell M., Tweets and Trades: The Information Content of Stock Microblogs (November 1, 2010). Available at SSRN: http://ssrn.com/abstract=1702854 or http://dx.doi.org/10.2139/ssrn.1702854

Contact Information

Timm O. Sprenger (Contact Author)
Technische Universität München (TUM) - School of Management ( email )
Arcisstrasse 21
Munich, 80333
Germany
+49-(0)89-289-24800 (Phone)
+49-(0)89-289-24805 (Fax)
HOME PAGE: http://www.strategie.wi.tum.de
Isabell M. Welpe
Technische Universität München (TUM) - School of Management ( email )
Leopoldstrasse 139
Munich, 80804
Germany
++49/89/289-24800 (Phone)
++49/89/289-24805 (Fax)
HOME PAGE: http://www.strategie.wi.tum.de
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