An Empirical Event Study of ComScore, Inc. Merger with Rentrak Corporation via Twitter Sentiment Analysis

This research focused on the shareholder wealth effect of comScore, Inc.’s merger withRentrak Corp, and a sentiment analysis was conducted to explain the wealth effect. Byemploying a short-term event study of three testing periods: [-1, 1], [-5, +5] and [-1, 85] ,andScholes and Williams’ adjusted short-term event study, this research found statisticalsignificant positive abnormal return for the target firm (Rentrak) in [-1, +1] event window,and a close to 10% statistically significant negative abnormal return for the bidder firm(comScore) and the combined entity represented by value weighting portfolio in [-1, 83] eventwindow, with overall positive abnormal return in shorter event window and overall negativeabnormal return in longer event window. This research then collected Twitter data within [-1,85] event study window and used the Delta TF-IDF Natural Language Processing method tolabel positive and negative sentiments of the tweets. By aggregating daily tweet sentimentsand performing a regression on the abnormal return of event study, this research concludedthat sentiment analysis data has explanatory power for abnormal return on the merger forcomScore and Rentrak