This paper attempts to investigate if adopting accurate forecasts from Neural Network (NN) models can lead to statistical and economically significant benefits in portfolio management decisions. In order to achieve that, three NNs, namely the Multi-Layer Perceptron (MLP), Recurrent Neural...

In this study, we investigate how social media coverage mitigates the under-reaction to an earnings surprise captured by post-earnings announcement drift. Based on the analysis of data collected over a nine-year period (2006–2014) from Seeking Alpha, the largest crowdsourced social media...