Tweets and Trades: The Information Content of Stock Microblogs

32 Pages Posted: 31 Oct 2014

See all articles by Timm O. Sprenger

Timm O. Sprenger

Technische Universität München (TUM) - School of Management

Andranik Tumasjan

Technische Universität München - TUM School of Management

Philipp G. Sandner

Frankfurt School of Finance & Management

Isabell M. Welpe

Technische Universität München (TUM) - School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: November 2014

Abstract

Microblogging forums (e.g., Twitter) have become a vibrant online platform for exchanging stock‐related information. Using methods from computational linguistics, we analyse roughly 250,000 stock‐related messages (so‐called tweets) on a daily basis. We find an association between tweet sentiment and stock returns, message volume and trading volume, as well as disagreement and volatility. In contrast to previous related research, we also analyse the mechanism leading to an efficient aggregation of information in microblogging forums. Our results demonstrate that users providing above average investment advice are retweeted (i.e., quoted) more often and have more followers, which amplifies their share of voice.

Keywords: Twitter, microblogging, stock market, investor sentiment, text classification, computational linguistics

Suggested Citation

Sprenger, Timm O. and Tumasjan, Andranik and Sandner, Philipp and Welpe, Isabell M., Tweets and Trades: The Information Content of Stock Microblogs (November 2014). European Financial Management, Vol. 20, Issue 5, pp. 926-957, 2014. Available at SSRN: https://ssrn.com/abstract=2517025 or http://dx.doi.org/10.1111/j.1468-036X.2013.12007.x

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

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

Philipp Sandner

Frankfurt School of Finance & Management ( email )

Sonnemannstraße 9-11
Frankfurt am Main, 60314
Germany

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