Is all that Twitters gold? Social media attention, stock returns, and the spread of information
68 Pages Posted: 1 Aug 2017
Date Written: November 21, 2017
Traditionally, measures of information arise from curated, professional sources such as newspapers, mass media outlets, and business news wires. We utilize a new measure, Twitter activity, to examine the impact of information shared by individuals. We find that increases in Twitter activity are associated with increased stock trading volume, positive abnormal returns, and when occurring in conjunction with traditional news releases or earnings announcements, an amplified and permanent price impact of the new information. Our results serve to 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