21 Pages Posted: 27 Feb 2011
Date Written: February 26, 2011
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.
Enhanced content available, see PDF for details.
Keywords: Twitter, Microblogging, Stock Market, Industry Classification, Social Network Analysis
JEL Classification: C81, G11
Suggested Citation: 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: https://ssrn.com/abstract=1770582
By Paul Tetlock
By Feng Li