025-01

2020-10-07 (水) 08:08:23 (56d) | Topic path: Top / 025-01

第25回研究会

Extreme Opinions on Social Media

著者

三輪宏太郎(九州大学)

概要

In this study, we analyze the information value of extreme opinions on Twitter that are identified by the most positive and negative Twitter sentiments for each firm. We find that these extreme opinions predict stock returns without subsequent reversals. In addition, they contain incremental information regarding firm fundamentals that are identified by subsequent revisions in analysts’ earnings forecasts and target prices. Finally, we find that the return predictability is attributed to the fundamental information contained in the extreme tweets. Our analysis sheds light on the role of extreme opinions on social media.

キーワード

Social Media, Twitter Sentiment, Extreme Tweet, Return Predictability, Firm Fundamentals

論文

file01_SIG-FIN-25.pdf

添付ファイル: file01_SIG-FIN-25.pdf 122件 [詳細]
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