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Silence is not golden anymore? Social media activity and stock market valuation in Europe

Author

Listed:
  • Christophe J. GODLEWSKI

    (LaRGE Research Center, Université de Strasbourg)

  • Katarzyna BYRKA-KITA

    (Institute of Economics and Finance, Uniwersytet Szczecinski)

  • Renata GOLA

    (Institute of Economics and Finance, Uniwersytet Szczecinski)

  • Jacek CYPRYJANSKI

    (Institute of Economics and Finance, Uniwersytet Szczecinski)

Abstract

We investigate the link between social media activity and market valuation of listed European companies over the period January 2018 – June 2020. Using a large novel dataset from 39 European capital markets, we first provide a comprehensive “big picture” of social media activity of European listed companies, using data from all European capital markets. Second, we show that greater Twitter activity is associated with increased shareholders’ returns. Third, we find that portfolios with a larger number of tweets posted by a company exhibit larger market risks. Our findings support the idea that investors should consider social media activity when implementing investment strategies.

Suggested Citation

  • Christophe J. GODLEWSKI & Katarzyna BYRKA-KITA & Renata GOLA & Jacek CYPRYJANSKI, 2022. "Silence is not golden anymore? Social media activity and stock market valuation in Europe," Working Papers of LaRGE Research Center 2022-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    • Handle: RePEc:lar:wpaper:2022-04
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    References listed on IDEAS

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    Keywords

    stock markets; valuation; CAPM; Twitter; social media; investor attention; information asymmetry; disclosure.;
    All these keywords.

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