This paper investigates the impact of Twitter attention, measured by abnormal number of tweets on stock trading activities. We find that Twitter attention has predictive power for future stock volatility and trading volume. A heightened number of tweets is followed by high volatility and trading...

This paper examines the information content of firm-specific sentiment extracted from Twitter messages. We find that Twitter sentiment predicts stock returns without subsequent reversals. This finding is consistent with the view that tweets provide information not already reflected in stock...