Investor Sentiment, Media and Stock Returns: The Advancement of Social Media

33 Pages Posted: 10 May 2021

See all articles by Ioanna Lachana

Ioanna Lachana

University of London - Birkbeck College

David Schröder

University of London - Birkbeck College

Date Written: May 8, 2021

Abstract

Recent research in behavioural finance has shown the importance of investor sentiment to explain stock market returns. In light of the changes in the media scene from traditional print media towards social media platforms over the past decade, this paper analyses and compares the effect of sentiment indices obtained from different media sources in their ability to explain stock market movements. Using a large set of articles and reader comments covering the time from 2006 to 2020, we show that social media is better in capturing investor sentiment than traditional media outlets. The results of the paper highlight the importance of alternative media sources to understand market behaviour.

Keywords: Investor sentiment, text mining, financial markets, traditional media, social media, stock returns.

JEL Classification: G11, G40, D53

Suggested Citation

Lachana, Ioanna and Schroeder, David, Investor Sentiment, Media and Stock Returns: The Advancement of Social Media (May 8, 2021). Available at SSRN: https://ssrn.com/abstract=3842039 or http://dx.doi.org/10.2139/ssrn.3842039

Ioanna Lachana (Contact Author)

University of London - Birkbeck College ( email )

Malet Street
London, WC1E 7HX
United Kingdom

David Schroeder

University of London - Birkbeck College ( email )

Malet Street
London, WC1E 7HX
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
206
Abstract Views
1,065
rank
181,597
PlumX Metrics