社会信号

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Journal of Financial Economics Pub Date : 2024-06-03 DOI:10.1016/j.jfineco.2024.103870
J. Anthony Cookson , Runjing Lu , William Mullins , Marina Niessner
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引用次数: 0

摘要

我们从三大平台研究了社交媒体的关注度和情绪:Twitter、StockTwits 和 Seeking Alpha。我们发现,即使在控制了公司信息披露和新闻之后,各平台的关注度仍高度相关,但情绪却并非如此:其第一主成分所能解释的变化比纯粹的特异情绪要少得多。利用市场事件,我们将平台间的差异归因于用户的差异(如专业人士与新手)和平台设计的差异(如帖子的字符限制)。我们还发现,情绪和注意力包含不同的回报相关信息。情感预测了正的次日回报,而关注则预测了负的次日回报。这些结果凸显了同时考虑社交媒体情绪和关注度以及区分不同投资者社交媒体平台的重要性。
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The social signal

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.

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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
期刊最新文献
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