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Tweets and Trades: the Information Content of Stock Microblogs
Author(s) -
Sprenger Timm O.,
Tumasjan Andranik,
Sandner Philipp G.,
Welpe Isabell M.
Publication year - 2014
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/j.1468-036x.2013.12007.x
Subject(s) - microblogging , social media , stock (firearms) , volatility (finance) , stock trading , sentiment analysis , business , computer science , financial economics , world wide web , data science , advertising , economics , stock market , artificial intelligence , paleontology , horse , biology , mechanical engineering , engineering
Microblogging forums (e.g., Twitter) have become a vibrant online platform for exchanging stock‐related information. Using methods from computational linguistics, we analyse roughly 250,000 stock‐related messages (so‐called tweets) on a daily basis. We find an association between tweet sentiment and stock returns, message volume and trading volume, as well as disagreement and volatility. In contrast to previous related research, we also analyse the mechanism leading to an efficient aggregation of information in microblogging forums. Our results demonstrate that users providing above average investment advice are retweeted (i.e., quoted) more often and have more followers, which amplifies their share of voice.