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Social-media and intraday stock returns: The pricing power of sentiment

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  • Broadstock, David C.
  • Zhang, Dayong

Abstract

This paper tests whether sentiment extracted from social-media (Twitter), has pricing power towards stock market. Specifically, we evaluate whether firms’ intraday stock returns react to sentiment on the firm itself, and/or sentiment on the wider financial market. Using intraday high frequency stock returns for a sample of US companies, we show that price dynamics are susceptible to social-media sentiment pricing factors, with varying balances of importance for firm specific and market wide sentiment.

Suggested Citation

  • Broadstock, David C. & Zhang, Dayong, 2019. "Social-media and intraday stock returns: The pricing power of sentiment," Finance Research Letters, Elsevier, vol. 30(C), pages 116-123.
    • Handle: RePEc:eee:finlet:v:30:y:2019:i:c:p:116-123
    DOI: 10.1016/j.frl.2019.03.030
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    References listed on IDEAS

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