The Social Signal

61 Pages Posted: 21 Oct 2022

See all articles by J. Anthony Cookson

J. Anthony Cookson

University of Colorado at Boulder - Leeds School of Business

Runjing Lu

University of Alberta

William Mullins

University of California, San Diego (UCSD)

Marina Niessner

University of Pennsylvania - The Wharton School

Date Written: October 8, 2022

Abstract

We examine social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that attention is highly correlated across platforms, but sentiment is not: its first principal component explains little more variation than purely idiosyncratic sentiment. We attribute differences across platforms to differences in users (e.g., professionals vs. novices) and differences in platform design (e.g., character limits in posts). We also find that sentiment and attention are both positively related to retail trading imbalance, but contain different return-relevant information. Sentiment-induced retail trading imbalance predicts positive next-day returns, in contrast to attention-induced retail trading imbalance, which predicts strongly negative next-day returns. These results highlight the importance of distinguishing between social media sentiment and attention, and suggest caution when studying the social signal through the lens of a single platform.

Keywords: social media, retail trading, social finance, attention, sentiment

JEL Classification: G14, G41, G12

Suggested Citation

Cookson, J. Anthony and Lu, Runjing and Mullins, William and Niessner, Marina, The Social Signal (October 8, 2022). Available at SSRN: https://ssrn.com/abstract=4241505 or http://dx.doi.org/10.2139/ssrn.4241505

J. Anthony Cookson (Contact Author)

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

Runjing Lu

University of Alberta

Edmonton, T6G 2R3
Canada

William Mullins

University of California, San Diego (UCSD) ( email )

9500 Gilman Drive
Mail Code 0502
La Jolla, CA 92093-0112
United States

Marina Niessner

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

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