How Facebook Drives Investor Behavior

Recent studies combining social media data with data from capital markets have mainly focused on the relationship between returns and activity on social media. In contrast, we study how behavior of different investor categories are associated to Facebook posts and other activity on a company's Facebook wall. We provide evidence that the decisions of less sophisticated investors---namely, households and nonprofit organizations---to increase or decrease their shareholdings are associated with Facebook data, while the decisions of more sophisticated investors---financial and insurance institutions---are not associated with Facebook data.