Is All that Twitters Gold? Social Media Attention, Stock Returns, and the Spread of Information
78 Pages Posted: 1 Aug 2017 Last revised: 18 Dec 2017
Date Written: December 17, 2017
Measures of information traditionally arise from curated, professional sources such as newspapers, analyst coverage, earnings announcements, and business news wires. We utilize a new measure, Twitter activity, to examine the impact of information shared by individuals. A natural experiment capturing exogenous Twitter outages allows us to distinguish attention generated through Twitter from other information sources. Increases in Twitter activity are associated with greater trading volume, positive abnormal returns, and, when occurring in conjunction with traditional information supply events, a large and permanent price impact. Our results identify conditions under which information shared by individuals drive price discovery and trading activity.
Keywords: Twitter, Investor Attention, Social Media, Behavioral Finance, Asset Pricing, Spread of Information
JEL Classification: G10, G12, G14, G23
Suggested Citation: Suggested Citation