Do Actions Speak Louder than Words? Evidence from Microblogs

Journal of Behavioral and Experimental Finance

38 Pages Posted: 19 Feb 2020 Last revised: 31 Dec 2021

See all articles by Maud Goutte

Maud Goutte

Swiss Finance Institute, Students; University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Date Written: March 1, 2019

Abstract

This research identifies the determinants of investors' future beliefs by analyzing more than 50 million tweets on thousands of stocks from the microblogging platform StockTwits. To distinguish between the different sources of changes in beliefs, I divide tweets into two categories: beliefs, representing the average sentiment of all investors regarding a particular stock, and actions, representing the actual transactions disclosed by StockTwits' users in their tweets. The results show that investors’ average next-period beliefs are positively impacted by the average sentiment (beliefs and actions) of the previous day. The effect is stronger once the quality of the investment advice is taken into account. Finally, more communication between investors is associated with greater diversity in beliefs as well as higher uncertainty.

Keywords: Sentiment analysis, NLP, Text analysis, Microblogs, Text classification, Herding, Word-of-mouth

JEL Classification: G14, G40

Suggested Citation

Goutte, Maud, Do Actions Speak Louder than Words? Evidence from Microblogs (March 1, 2019). Journal of Behavioral and Experimental Finance, Available at SSRN: https://ssrn.com/abstract=3523009 or http://dx.doi.org/10.2139/ssrn.3523009

Maud Goutte (Contact Author)

Swiss Finance Institute, Students ( email )

c/o University of Geneva
42, Bd du Pont d'Arve
Geneva, CH-1211
Switzerland

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) ( email )

Unil Dorigny, Batiment Internef
Lausanne, 1015
Switzerland

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