In contrast to mandatory information disclosures, social media offer companies the opportunity to communicate with investors with few constraints on frequency, content, and format. To investigate the use of social media by asset management firms, we collect a database of 1.4 million Twitter...

Using a novel and direct measure of investor sentiment, I find that Facebook's Gross National Happiness (GNH) has the ability to predict changes in both daily returns and trading volume in the US stock market. For instance, an increase of one standard deviation in GNH is associated with an...

We examine the long-term relationship between signals derived from nine years of unstructured social media microblog text data and financial market developments in five major economic regions. Employing statistical language modeling techniques we construct directional sentiment metrics and link...

Using a novel and direct measure of investor sentiment, I find that Facebook's Gross National Happiness (GNH) has the ability to predict changes in both daily returns and trading volume in the US stock market. For instance, an increase of one standard deviation in GNH is associated with an...

Social media has become a popular venue for individuals to share the results of their own analysis on financial securities. This paper investigates the extent to which investor opinions transmitted through social media predict future stock returns and earnings surprises. We conduct textual...

Social media activities are a proxy for non-fundamental forces that contribute to ETF premium. Greater social media coverage of an active ETF's holdings predicts a greater ETF premium on the next trading day. Active-ETF managers are more likely to sell underlying stocks which experience more...

Using a new and comprehensive sample of more than 67 million Twitter posts referencing Russell 3000 firms between 2012 and 2021, we introduce a novel, unsupervised method of scoring the sentiment of emojis. Our method generates point-in-time dictionaries that map individual emojis to the...

This study tests the impact of usage of Twitter as a microblogging service provider on shareholders' returns and abnormal returns. In accordance with this purpose, two portfolios were created based on measurement of whether firms had a Twitter account and, if so, their number of followers and...

Research in behavioural finance has shown the importance of investor sentiment to explain stock market returns. In light of the changes in the media landscape from traditional print media towards social media platforms, this paper analyses and compares the ability of investor sentiment measures...

Financial crises result from a catastrophic combination of actions. Vast stock market datasets offer us a window into some of the actions that have led to these crises. Here, we investigate whether data generated through Internet usage contain traces of attempts to gather information before...