The Role of Social Media in the Corporate Bond Market: Evidence from Twitter

• 成果类型: Article
• 署名作者: Bartov, Eli; Faurel, Lucile; Mohanram, Partha
• 署名单位: New York University; Arizona State University; Arizona State University-Tempe; University of Toronto
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4589
• 发表日期: 2023
• 页码: 5638-5667
• 关键词: twitter; Social media; Credit risk; default risk; Bankruptcy risk; earnings; CDS; Bond yield; Bond returns

摘要

Prior studies document the role social media information plays in the stock market and the important dissimilarities between the bond and stock markets. Bridging these two types of literature, we examine the role of social media information in the corporate bond market. Analyzing a broad sample of messages by Twitter individual users, posted just prior to earnings announcements, containing bond, credit risk, and fundamental information, we find that aggregate Twitter opinion (DPI) predicts upcoming announcement bond returns and changes in credit default swap (CDS) spreads, and is associated with future changes in bond yield spreads and credit ratings, thereby providing economically important information to the bond market. This interpretation is bolstered by results from a variety of cross-sectional analyses. Finally, we document an association between DPI and future changes in default risk, which casts light on the nature of the Twitter information underlying our findings. Overall, our findings demonstrate that Twitter appears to disseminate potentially economically important information to even the presumably sophisticated bond and CDS investors, as well as information intermediaries.