News Diffusion in Social Networks and Stock Market Reactions

• 成果类型: Article
• 署名作者: Hirshleifer, David; Peng, Lin; Wang, Qiguang
• 署名单位: University of Southern California; City University of New York (CUNY) System; Baruch College (CUNY); Hong Kong Baptist University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae025
• 发表日期: 2024
• 页码: 883
• 关键词: individual investors; trading volume; retirement plan; INFORMATION; attention; search; BIAS; overconfidence; underreaction; DISAGREEMENT

摘要

We study how the social transmission of public news influences investors' beliefs and the securities markets. Using data on social networks, we find that earnings announcements from firms in higher-centrality counties generate a stronger immediate price, volatility, and trading volume reactions. Post-announcement, such firms experience weaker price drift and faster volatility decay but higher and more persistent volume. These findings suggest greater social connectedness facilitates the timely incorporation of news into prices, as well as opinion divergence and excessive trading. We propose the social churning hypothesis, which is confirmed using granular data from StockTwits messages and household trading records.