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Paying attention to social media stocks

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  • Chiou, Wan-Jiun Paul
  • Knewtson, Heather S.
  • Nofsinger, John R.

Abstract

Social media has reshaped business models, economies, politics, and culture around the world. In this paper, we identified social media stocks from various sectors by using a strict, academic definition and then studied their performance and return characteristics. Multivariate regression results demonstrate that being recognized as a social media firm yields extra return. The performance of social media stocks is not associated with macro-level sentiment, but rather with firm-level attention paid by potential investors. Causality tests indicate that the default risk premium and volatility have incremental power in explaining the performance of social media stocks.

Suggested Citation

  • Chiou, Wan-Jiun Paul & Knewtson, Heather S. & Nofsinger, John R., 2019. "Paying attention to social media stocks," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 106-119.
    • Handle: RePEc:eee:reveco:v:59:y:2019:i:c:p:106-119
    DOI: 10.1016/j.iref.2018.08.009
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