The role of social media in the stock market: twitter sentiment as a predictor of stock returns
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/140471 |
Resumo: | The recent surge of emerging technologies, combined with the growth of social media securities-related microblogging, instigated academics to explore new proxies for sentiment. This research dissects the association between 1-month lagged Twitter sentiment and stock returns for the S&P500 constituents from 2008 to 2021 through the sentiment analysis of approximately 34.7million tweets. Evidence shows a consistent variation pattern of returns across the scope of the anomaly. Furthermore, abnormal returns associated with high Twitter sentiment are pervasive and significant, particularly for value-weight returns. In contrast, there is insufficient evidence on the pervasiveness of abnormal returns for low Twitter sentiment. Key words: Asset Pricing, Big Data, Sentiment Analysis, Stock Return, Investor Sentiment. |
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The role of social media in the stock market: twitter sentiment as a predictor of stock returnsAsset pricingBig dataSentiment analysisStock returnInvestor sentimentDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe recent surge of emerging technologies, combined with the growth of social media securities-related microblogging, instigated academics to explore new proxies for sentiment. This research dissects the association between 1-month lagged Twitter sentiment and stock returns for the S&P500 constituents from 2008 to 2021 through the sentiment analysis of approximately 34.7million tweets. Evidence shows a consistent variation pattern of returns across the scope of the anomaly. Furthermore, abnormal returns associated with high Twitter sentiment are pervasive and significant, particularly for value-weight returns. In contrast, there is insufficient evidence on the pervasiveness of abnormal returns for low Twitter sentiment. Key words: Asset Pricing, Big Data, Sentiment Analysis, Stock Return, Investor Sentiment.Rizzo, A. EmanueleRUNCosta, Davide Gomes2022-06-22T08:43:39Z2022-01-102021-12-172022-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140471TID:202973158enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:17:35Zoai:run.unl.pt:10362/140471Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:40.332817Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The role of social media in the stock market: twitter sentiment as a predictor of stock returns |
title |
The role of social media in the stock market: twitter sentiment as a predictor of stock returns |
spellingShingle |
The role of social media in the stock market: twitter sentiment as a predictor of stock returns Costa, Davide Gomes Asset pricing Big data Sentiment analysis Stock return Investor sentiment Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The role of social media in the stock market: twitter sentiment as a predictor of stock returns |
title_full |
The role of social media in the stock market: twitter sentiment as a predictor of stock returns |
title_fullStr |
The role of social media in the stock market: twitter sentiment as a predictor of stock returns |
title_full_unstemmed |
The role of social media in the stock market: twitter sentiment as a predictor of stock returns |
title_sort |
The role of social media in the stock market: twitter sentiment as a predictor of stock returns |
author |
Costa, Davide Gomes |
author_facet |
Costa, Davide Gomes |
author_role |
author |
dc.contributor.none.fl_str_mv |
Rizzo, A. Emanuele RUN |
dc.contributor.author.fl_str_mv |
Costa, Davide Gomes |
dc.subject.por.fl_str_mv |
Asset pricing Big data Sentiment analysis Stock return Investor sentiment Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Asset pricing Big data Sentiment analysis Stock return Investor sentiment Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The recent surge of emerging technologies, combined with the growth of social media securities-related microblogging, instigated academics to explore new proxies for sentiment. This research dissects the association between 1-month lagged Twitter sentiment and stock returns for the S&P500 constituents from 2008 to 2021 through the sentiment analysis of approximately 34.7million tweets. Evidence shows a consistent variation pattern of returns across the scope of the anomaly. Furthermore, abnormal returns associated with high Twitter sentiment are pervasive and significant, particularly for value-weight returns. In contrast, there is insufficient evidence on the pervasiveness of abnormal returns for low Twitter sentiment. Key words: Asset Pricing, Big Data, Sentiment Analysis, Stock Return, Investor Sentiment. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-12-17 2022-06-22T08:43:39Z 2022-01-10 2022-01-10T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/140471 TID:202973158 |
url |
http://hdl.handle.net/10362/140471 |
identifier_str_mv |
TID:202973158 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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