Twitter Sentiment and IPO Performance: A Cross-Sectional Examination

Posted: 20 Feb 2015 Last revised: 7 Aug 2016

See all articles by Jim Kyung-Soo Liew

Jim Kyung-Soo Liew

Johns Hopkins University - Carey Business School

Garrett Zhengyuan Wang

The Johns Hopkins University

Date Written: 2016

Abstract

In this paper, we examine the cross-sectional relationships between 325 IPOs’ first-day returns and their corresponding Tweet sentiment as defined by iSENTIUM LLC’s sentiment engine over the period from 2013 through 2014. We find that Tweet sentiment is positively correlated to contemporaneous IPO returns. Interestingly enough, we document a positive relationship between prior days’ (1 day, 2 days and 3 days) Tweet sentiment and next-day IPO returns from offer price to open price while a negative relationship between prior days’ (1 day, 2 days and 3 days) Tweet sentiment and next-day IPO returns from open price to close price. Nevertheless, our examination of relationship between intra-day Tweet sentiment and intra-day IPO returns yields insignificant results. We document that Tweet sentiment matters for IPO first-day performances but the nature of this relationship appears very complex.

Keywords: Twitter, Tweets, sentiment, IPO

Suggested Citation

Liew, Jim Kyung-Soo and Wang, Garrett Zhengyuan, Twitter Sentiment and IPO Performance: A Cross-Sectional Examination (2016). Journalof Portfolio Management, Vol. 42, No. 4, 2016. Available at SSRN: https://ssrn.com/abstract=2567295 or http://dx.doi.org/10.2139/ssrn.2567295

Jim Kyung-Soo Liew (Contact Author)

Johns Hopkins University - Carey Business School ( email )

100 International Drive
Baltimore, MD 21202
United States

Garrett Zhengyuan Wang

The Johns Hopkins University ( email )

Baltimore, MD 20036-1984
United States

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