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

21 Pages Posted: 27 Feb 2011  

Timm O. Sprenger

Technische Universität München (TUM) - School of Management

Isabell M. Welpe

Technische Universität München (TUM) - School of Management

Date Written: February 26, 2011

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

JEL Classification: C81, G11

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

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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