News or Noise? Using Twitter to Identify and Understand Company‐Specific News Flow

40 Pages Posted: 20 Oct 2014

See all articles by Timm O. Sprenger

Timm O. Sprenger

Technische Universität München (TUM) - School of Management

Philipp G. Sandner

Frankfurt School of Finance & Management

Andranik Tumasjan

Technische Universität München - TUM School of Management

Isabell M. Welpe

Technische Universität München (TUM) - School of Management

Date Written: September/October 2014

Abstract

This study presents a methodology for identifying a broad range of real‐world news events based on microblogging messages. Applying computational linguistics to a unique dataset of more than 400,000 S&P 500 stock‐related Twitter messages, we distinguish between good and bad news and demonstrate that the returns prior to good news events are more pronounced than for bad news events. We show that the stock market impact of news events differs substantially across different categories.

Keywords: event study, news events, information leakage, market reaction, computational linguistics

Suggested Citation

Sprenger, Timm O. and Sandner, Philipp and Tumasjan, Andranik and Welpe, Isabell M., News or Noise? Using Twitter to Identify and Understand Company‐Specific News Flow (September/October 2014). Journal of Business Finance & Accounting, Vol. 41, Issue 7-8, pp. 791-830, 2014, Available at SSRN: https://ssrn.com/abstract=2512000 or http://dx.doi.org/10.1111/jbfa.12086

Timm O. Sprenger (Contact Author)

Technische Universität München (TUM) - School of Management ( email )

Arcisstrasse 21
Munich, DE 80333
Germany
+49-(0)89-289-24800 (Phone)
+49-(0)89-289-24805 (Fax)

HOME PAGE: http://www.strategie.wi.tum.de

Philipp Sandner

Frankfurt School of Finance & Management ( email )

Adickesallee 32-34
Frankfurt am Main, 60322
Germany

HOME PAGE: http://www.philipp-sandner.de

Andranik Tumasjan

Technische Universität München - TUM School of Management ( email )

Leopoldstr. 139
Munich, D-80804
Germany

HOME PAGE: http://www.strategie.wi.tum.de/index.php?id=20

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
2
Abstract Views
1,222
PlumX Metrics