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Is all that Twitters gold? Social media attention, stock returns, and the spread of information

68 Pages Posted: 1 Aug 2017  

David A. Rakowski

University of Texas at Arlington

Sara E. Shirley

Middle Tennessee State University

Jeffrey R. Stark

Middle Tennessee State University

Date Written: November 21, 2017

Abstract

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

Rakowski, David A. and Shirley, Sara E. and Stark, Jeffrey R., Is all that Twitters gold? Social media attention, stock returns, and the spread of information (November 21, 2017). Available at SSRN: https://ssrn.com/abstract=3010915

David Rakowski

University of Texas at Arlington ( email )

Box 19449 UTA
Arlington, TX 76019
United States

Sara Shirley

Middle Tennessee State University ( email )

Murfreesboro, TN 37132
United States

Jeffrey Stark (Contact Author)

Middle Tennessee State University ( email )

Murfreesboro, TN
United States

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