Social interaction and information transmission are essential components of pricing and trading in financial markets. To investigate the behavior contagion and information cascades among investors and sectors, we deploy a jump-diffusion process on investor sentiment -- a novel dataset from...

We study the investor beliefs, sentiment and disagreement, about stock market returns during the COVID-19 pandemic using a large number of messages of investors -- about 3.7 million messages -- on a social media investing platform,StockTwits. The rich and multimodal features of StockTwits data...

We empirically study sources of abnormal changes, henceforth jumps, simultaneously in investor beliefs and asset prices using 164 million tweets from a social media investing platform, StockTwits. Before the COVID-19 pandemic, we find that on average 4.88% (7.88%) jumps in asset prices (investor...