Tweeting the Good News: Returns and Price Informativeness
59 Pages Posted: 15 Jul 2017
Date Written: July 3, 2017
Recent innovations in information technology (Social Media) have made voluntary firm disclosure ubiquitous, cheap, and timely. We study the use of Twitter, and exploit a 2013 regulatory change that makes financial tweeting credible. Consistent with theoretical models, we find that firms release mostly positive information; tweeting days are characterized by high returns not subsequently reversed. Consistent with theories of investor attention, when firms tweet negative information, they select times of low investor attention, such as Fridays or outside of market hours. Finally, tweeting is positively related to firm stock price efficiency, suggesting that firms using Twitter release valuation-relevant information sooner.
Keywords: Social Media, Twitter, Textual Analysis, Investor Attention, Information Asymmetry
JEL Classification: G10, G12, G14
Suggested Citation: Suggested Citation