Talking Your Book: Social Networks and Price Discovery
Posted: 23 Feb 2011 Last revised: 17 Aug 2014
Date Written: February 22, 2011
We study how professional investors use social networks to impound price-relevant information into asset prices. Exploiting novel data from an online social network that facilitates information sharing among fund managers, we find that long (short) recommendations released into the private network generate cumulative abnormal returns of 3.61% (-4.90%) over a twenty-day window. These results suggest that social networks play a direct role in facilitating the price discovery process.
Keywords: Networks, Hedge Funds, Market Efficiency
JEL Classification: G10, G11, G14
Suggested Citation: Suggested Citation
Gray, Wesley R. and Kern, Andrew E., Talking Your Book: Social Networks and Price Discovery (February 22, 2011). Available at SSRN: https://ssrn.com/abstract=1767452 or http://dx.doi.org/10.2139/ssrn.1767452
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