Social Media, Financial Reporting Opacity, and Return Co-movement: Evidence From Seeking Alpha
58 Pages Posted: 20 Mar 2020
Date Written: October 18, 2019
In this study, we develop a model to analyze the interplay between the coverage of a firm on social media, financial reporting opacity, and stock return co-movement. Our model predicts a negative association between social media coverage and co-movement as social media facilitates the incorporation of firm-specific information into stock price. It also predicts that the effect of social media coverage on co-movement is more pronounced among firms with higher financial reporting opacity. Using data from Seeking Alpha, the largest crowd-sourced social media platform that provides “third-party generated” financial analysis in US, we find results consistent with the model’s predictions.
Keywords: Social Media, Co-Movement, Seeking Alpha, Financial Reporting Opacity
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation