The Social Media Risk Premium

48 Pages Posted: 29 Jan 2020

See all articles by Amin Hosseini

Amin Hosseini

George Washington University - Department of Finance

Gergana Jostova

George Washington University - Department of Finance

Alexander Philipov

George Mason University - Department of Finance

Robert Savickas

George Washington University - School of Business - Department of Finance

Date Written: January 10, 2020

Abstract

Using novel corporate Twitter data on all U.S. public firms, we show that firms with a Twitter account earn 50 basis points per month higher returns than similar firms without a Twitter account. This `Twitter premium' is higher among smaller firms and firms with higher fundamentals uncertainty, and is not explained by existing risk-factor models. Having a Twitter account presents opportunities for value creation but also raises social media risks. We show that a social media risk factor is priced in the cross-section of U.S. stock returns and carries a premium of 30 to 75 basis points per month controlling for other risk factors.

Keywords: Stock Returns, Social Media Risk, Social Media Risk Factor, Machine Learning, Twitter

JEL Classification: G11, G12, G14

Suggested Citation

Hosseini, Amin and Jostova, Gergana and Philipov, Alexander and Savickas, Robert, The Social Media Risk Premium (January 10, 2020). Available at SSRN: https://ssrn.com/abstract=3514826 or http://dx.doi.org/10.2139/ssrn.3514826

Amin Hosseini

George Washington University - Department of Finance ( email )

2023 G Street
Washington, DC 20052
United States

Gergana Jostova (Contact Author)

George Washington University - Department of Finance ( email )

2201 G St NW
Funger Hall, Suite 501
Washington, DC 20052
United States
202-994-7478 (Phone)

HOME PAGE: http://business.gwu.edu/gergana-jostova

Alexander Philipov

George Mason University - Department of Finance ( email )

Fairfax, VA 22030
United States

HOME PAGE: http://mason.gmu.edu/~aphilipo

Robert Savickas

George Washington University - School of Business - Department of Finance ( email )

Funger Hall, Suite 501R
2201 G Street, N.W.
Washington, DC 20052
United States
202-994-8936 (Phone)
202-994-5014 (Fax)

HOME PAGE: http://savickas.net/

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