Firms increasingly follow an ‘always on’ philosophy, producing multiple pieces of firm-generated content (FGC) throughout the day. Current methodologies used in marketing are unsuited to unbiasedly capturing the impact of FGC disseminated intermittently throughout the day in stock markets characterized by ultra-high frequency trading. They also neither distinguish between the permanent (i.e. long-term) and temporary (i.e. short-term) price impacts nor identify FGC attributes capable of generating these price impacts. In this study, the authors define price impact as the impact on the variance of stock price. Employing a market microstructure approach to exploit the variance of high frequency changes in stock price the authors estimate the permanent and temporary price impacts of the firm-generated Twitter content of S&P 500 IT firms. The authors find that firm-generated tweets induce both permanent and temporary price impacts, which are linked to tweet attributes; valence and subject matter. Tweets reflecting only valence or subject matter concerning consumer or competitor orientation result in temporary price impacts, while those embodying both attributes generate permanent price impact; negative valence tweets about competitors generate the largest permanent price impacts. Building on these findings, the authors offer suggestions to marketing managers on the design of intraday FGC.

公司越来越遵循“永远在线”的理念，全天制作多条公司生成的内容 (FGC)。当前营销中使用的方法不适合公正地捕捉全天间歇性传播的 FGC 在以超高频交易为特征的股票市场中的影响。他们也没有区分永久（即长期）和临时（即短期）价格影响，也没有确定能够产生这些价格影响的 FGC 属性。在本研究中，作者将价格影响定义为对股价方差的影响。作者采用市场微观结构方法来利用股票价格高频变化的方差，估计标准普尔 500 指数 IT 公司的公司生成的 Twitter 内容的永久和临时价格影响。作者发现，公司生成的推文会引起永久和临时的价格影响，这与推文属性有关；价和主题。仅反映与消费者或竞争对手导向相关的价或主题的推文会导致暂时的价格影响，而那些同时体现这两种属性的推文会产生永久的价格影响；关于竞争对手的负价推文会产生最大的永久性价格影响。基于这些发现，作者就日内 FGC 的设计向营销经理提供了建议。而同时具备这两种属性的那些会产生永久性的价格影响；关于竞争对手的负价推文会产生最大的永久性价格影响。基于这些发现，作者就日内 FGC 的设计向营销经理提供了建议。而同时具备这两种属性的那些会产生永久性的价格影响；关于竞争对手的负价推文会产生最大的永久性价格影响。基于这些发现，作者就日内 FGC 的设计向营销经理提供了建议。