Abstract

The authors investigate the impact of social media on S&P index constituents for U.S., European, and emerging markets with the international investor perspective using firm-specific Twitter sentiment and activity. The findings indicate that Twitter activity and sentiment are associated with trading volume and returns, and predicts subsequent-day trading volume. The authors find that firm-specific Twitter sentiment contains information for predicting stock returns and this predictive power remains significant after controlling news sentiment. The positive tone of Twitter sentiment is more pronounced in small and emerging market firms, which is consistent with the literature stating that small firms are hard to value and emerging market firms contain high information asymmetry. From a practical perspective, investors could potentially use social media sentiment in trading strategies.

摘要

作者使用公司特定的Twitter情绪和活动，从国际投资者的角度调查了社交媒体对美国，欧洲和新兴市场的标准普尔指数成分的影响。调查结果表明，Twitter的活动和情绪与交易量和回报相关，并可以预测第二天的交易量。作者发现，特定于公司的Twitter情绪包含用于预测股票收益的信息，并且在控制新闻情绪之后，这种预测能力仍然很重要。在小型和新兴市场的公司中，Twitter情绪的积极基调更为明显，这与文献中的观点一致，即小型公司难以估价，而新兴市场的公司包含高度的信息不对称性。从实际的角度来看，