The President Reacts to News Channel of Government Communication

77 Pages Posted: 6 May 2021 Last revised: 30 Nov 2023

See all articles by Farshid Abdi

Farshid Abdi

Texas A&M University

Emily Kormanyos

Deutsche Bundesbank; Goethe University Frankfurt

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration; Leibniz Institute for Financial Research SAFE; Ca Foscari University of Venice - Dipartimento di Economia

Mila Getmansky Sherman

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Date Written: November 28, 2023

Abstract

Studying about 1,200 economy-related tweets of President Trump, we establish the “President reacts to news” channel of stock returns. Using high-frequency identification of market movements and machine learning to classify the topics and textual sentiment of tweets, we address the observed heterogeneity in the aggregate stock market response to these messages. After controlling for market trends preceding tweets, we find that 80% of tweets are reactive and predictable rather than novel and informative. The exceptions are trade war tweets, where the President has direct policy authority, and his tweets can reveal investable private information or information about his policy function.

Keywords: Government communication, Social media, Twitter, Machine learning, ETFs

JEL Classification: G10, G14, C58

Suggested Citation

Abdi, Farshid and Kormanyos, Emily and Pelizzon, Loriana and Getmansky Sherman, Mila, The President Reacts to News Channel of Government Communication (November 28, 2023). SAFE Working Paper No. 314, Available at SSRN: https://ssrn.com/abstract=3840203 or http://dx.doi.org/10.2139/ssrn.3840203

Farshid Abdi

Texas A&M University ( email )

Mays Business School | Texas A&M University
210 Olsen Boulevard
College Station, TX 77843-4218
United States

Emily Kormanyos

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Goethe University Frankfurt

House of Finance
Theodor-W.-Adorno-Platz 3
Frankfurt, 60323
Germany

Loriana Pelizzon (Contact Author)

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, D-60323
Germany

Leibniz Institute for Financial Research SAFE ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.safe-frankfurt.de

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

Mila Getmansky Sherman

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance ( email )

Amherst, MA 01003-4910
United States

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