The social signal

• 成果类型: Article
• 署名作者: Cookson, J. Anthony; Lu, Runjing; Mullins, William; Niessner, Marina
• 署名单位: University of Colorado System; University of Colorado Boulder; University of Alberta; University of California System; University of California San Diego; Indiana University System; Indiana University Bloomington
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103870
• 发表日期: 2024
• 关键词: social media; Retail trading; Social finance

摘要

We examine social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that, even after controlling for firm disclosures and news, attention is highly correlated across platforms, but sentiment is not: its first principal component explains little more variation than purely idiosyncratic sentiment. Using market events, we attribute differences across platforms to differences in users (e.g., professionals versus novices) and differences in platform design (e.g., character limits in posts). We also find that sentiment and attention contain different return-relevant information. Sentiment predicts positive next-day returns, but attention predicts negative next-day returns. These results highlight the importance of considering both social media sentiment and attention, and of distinguishing between different investor social media platforms.