Tweets and Peers: Defining Industry Groups and Strategic Peers based on Investor Perceptions of Stocks on Twitter

Sprenger, Timm; Welpe, Isabell

Abstract

References (24)

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Tweets and Peers: Defining Industry Groups and Strategic Peers based on Investor Perceptions of Stocks on Twitter

Timm O. Sprenger

Technische Universität München (TUM) - School of Management

Technische Universität München (TUM) - School of Management

February 26, 2011

Algorithmic Finance (2011), 1:1, 57-76

Abstract:
Delineating industry groups of related firms and identifying strategic peers is important for both financial practitioners and scholars. Our study explores whether the degree to which pairs of companies are associated with each other in an online stock forum is related to the comovement of their stocks. We find that our news-based measure of relatedness can explain stock returns with the same power as the established SIC classification scheme. We investigate, whether our method can serve to define strategic peer groups and conclude that news-based relatedness can help delineate meaningful industry groups.

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Number of Pages in PDF File: 21

Keywords: Twitter, Microblogging, Stock Market, Industry Classification, Social Network Analysis

JEL Classification: C81, G11

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Date posted: February 27, 2011

Suggested Citation

Sprenger, Timm O. and Welpe, Isabell M., Tweets and Peers: Defining Industry Groups and Strategic Peers based on Investor Perceptions of Stocks on Twitter (February 26, 2011). Algorithmic Finance (2011), 1:1, 57-76. Available at SSRN: http://ssrn.com/abstract=1770582

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

Abstract

References (24)

Tweets and Peers: Defining Industry Groups and Strategic Peers based on Investor Perceptions of Stocks on Twitter

Timm O. Sprenger

Isabell M. Welpe

Date posted: February 27, 2011

Suggested Citation

Contact Information

Timm O. Sprenger (Contact Author)

Isabell M. Welpe