Using Social Media to Identify the Effects of Congressional Viewpoints on Asset Prices

55 Pages Posted: 12 Apr 2021 Last revised: 3 May 2022

See all articles by Francesco Bianchi

Francesco Bianchi

Duke University; NBER; CEPR

Roberto Gomez Cram

London Business School

Howard Kung

London Business School; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 3 versions of this paper

Date Written: April 12, 2021

Abstract

This paper examines the extent to which individual politicians affect asset prices using a high-frequency identification approach. We exploit the regular flow of viewpoints contained in a large volume of tweets from members of US Congress. Congressional tweets targeting individual firms are collected and classified based on their tone. Supportive (critical) tweets increase (decrease) stock prices of the targeted firm in minutes around the tweet. The price response persists for several days, during which analysts revise their forecasts about the firm cash flows. Selected politician tweets linked to legislation affect the stock prices of firms in the same industry as the targeted firm. The timeline of politician viewpoints within a particular bill exhibits surges in relevant news that predict roll call votes months before the signing of the bill. We highlight how the social media accounts of politicians are a valuable source of political news.

Keywords: Asset pricing, political news, social media, high-frequency identification.

JEL Classification: D72, G14

Suggested Citation

Bianchi, Francesco and Gomez Cram, Roberto and Kung, Howard, Using Social Media to Identify the Effects of Congressional Viewpoints on Asset Prices (April 12, 2021). Available at SSRN: https://ssrn.com/abstract=3823756 or http://dx.doi.org/10.2139/ssrn.3823756

Francesco Bianchi

Duke University ( email )

100 Fuqua Drive
Durham, NC 27708-0204
United States

NBER ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

CEPR ( email )

London
United Kingdom

Roberto Gomez Cram (Contact Author)

London Business School ( email )

Regent's Park, London NW1 4SA
Regent's Park
London, London NW1 4SA
United Kingdom

Howard Kung

London Business School ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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