Paying Attention to Social Media Stocks

39 Pages Posted: 18 Feb 2015 Last revised: 23 Feb 2020

See all articles by Wan-Jiun Paul Chiou

Wan-Jiun Paul Chiou

Central Michigan University - Department of Finance and Law

Heather Knewtson

Michigan Technological University

John R. Nofsinger

University of Alaska Anchorage

Date Written: June 19, 2017

Abstract

Social media has reshaped business models, economies, politics, and culture around the world. In this paper, we identified social media stocks from various sectors by using a strict, academic definition and then studied their performance and return characteristics. Multivariate regression results demonstrate that being recognized as a social media firm yields extra return. The performance of social media stocks is not associated with macro-level sentiment, but rather with firm-level attention paid by potential investors. Causality tests indicate that the default risk premium and volatility have incremental power in explaining the performance of social media stocks.

Keywords: Social media, social gaming, social networking, sentiment, investor attention

JEL Classification: G11, G14

Suggested Citation

Chiou, Wan-Jiun Paul and Knewtson, Heather and Nofsinger, John R., Paying Attention to Social Media Stocks (June 19, 2017). Wan-Jiun Paul Chiou, Heather S. Knewtson, John R. Nofsinger, Paying attention to social media stocks, International Review of Economics & Finance, Volume 59, 2019, Pages 106-119, ISSN 1059-0560, Doi.org/10.1016/j.iref.2018.08.009.. Available at SSRN: https://ssrn.com/abstract=2565705 or http://dx.doi.org/10.2139/ssrn.2565705

Wan-Jiun Paul Chiou

Central Michigan University - Department of Finance and Law ( email )

Mount Pleasant, MI 48859
United States

Heather Knewtson (Contact Author)

Michigan Technological University ( email )

School of Business and Economics
1400 Townsend Drive
Houghton, MI 49931
United States
906-487-2771 (Phone)

John R. Nofsinger

University of Alaska Anchorage ( email )

3211 Providence Drive
Anchorage, AK 99508
United States

HOME PAGE: http://faculty.cbpp.uaa.alaska.edu/jnofsinger/

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