Twitter Investor Sentiment and Corporate Earnings Announcements

Nikolaos Karampatsas; Soheila Malekpourkolbadinejad; Andrew Mason; Christos Mavrovitis (Mavis)

doi:10.1111/eufm.12384

Twitter Investor Sentiment and Corporate Earnings Announcements

Nikolaos Karampatsas, Soheila Malekpourkolbadinejad, Andrew Mason, Christos Mavrovitis (Mavis)

Research Centre for Financial & Corporate Integrity

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

4 Downloads (Pure)

Abstract

We examine the impact of firm-specific investor sentiment (FSIS) on stock returns for negative and positive earnings surprises. Using a measure constructed from firm-specific tweets, we find that FSIS has a greater impact on stock returns for negative relative to positive earnings surprises. We further show that the impact of FSIS is greater for firms whose valuation is uncertain and difficult to arbitrage. Moreover, we provide evidence of return reversals over post-announcement periods. Our results highlight the importance of FSIS around earnings announcements.

Original language	English
Pages (from-to)	953-986
Number of pages	34
Journal	European Financial Management
Volume	29
Issue number	3
Early online date	28 Jul 2022
DOIs	https://doi.org/10.1111/eufm.12384
Publication status	Published - 1 Jun 2023

Bibliographical note

This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and
reproduction in any medium, provided the original work is properly cited. CC BY

Keywords

Earnings surprises
Investor sentiment
Social Media
StockTwits
Twitter

Access to Document

10.1111/eufm.12384Licence: CC BY

PublishedFinal published version, 2.52 MBLicence: CC BY

Cite this

@article{2ccaf861fb50425fb71f456251ab5745,

title = "Twitter Investor Sentiment and Corporate Earnings Announcements",

abstract = "We examine the impact of firm-specific investor sentiment (FSIS) on stock returns for negative and positive earnings surprises. Using a measure constructed from firm-specific tweets, we find that FSIS has a greater impact on stock returns for negative relative to positive earnings surprises. We further show that the impact of FSIS is greater for firms whose valuation is uncertain and difficult to arbitrage. Moreover, we provide evidence of return reversals over post-announcement periods. Our results highlight the importance of FSIS around earnings announcements.",

keywords = "Earnings surprises, Investor sentiment, Social Media, StockTwits, Twitter",

author = "Nikolaos Karampatsas and Soheila Malekpourkolbadinejad and Andrew Mason and {Mavrovitis (Mavis)}, Christos",

note = "This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. CC BY",

year = "2023",

month = jun,

day = "1",

doi = "10.1111/eufm.12384",

language = "English",

volume = "29",

pages = "953--986",

journal = "European Financial Management",

number = "3",

}

TY - JOUR

T1 - Twitter Investor Sentiment and Corporate Earnings Announcements

AU - Karampatsas, Nikolaos

AU - Malekpourkolbadinejad, Soheila

AU - Mason, Andrew

AU - Mavrovitis (Mavis), Christos

N1 - This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. CC BY

PY - 2023/6/1

Y1 - 2023/6/1

N2 - We examine the impact of firm-specific investor sentiment (FSIS) on stock returns for negative and positive earnings surprises. Using a measure constructed from firm-specific tweets, we find that FSIS has a greater impact on stock returns for negative relative to positive earnings surprises. We further show that the impact of FSIS is greater for firms whose valuation is uncertain and difficult to arbitrage. Moreover, we provide evidence of return reversals over post-announcement periods. Our results highlight the importance of FSIS around earnings announcements.

AB - We examine the impact of firm-specific investor sentiment (FSIS) on stock returns for negative and positive earnings surprises. Using a measure constructed from firm-specific tweets, we find that FSIS has a greater impact on stock returns for negative relative to positive earnings surprises. We further show that the impact of FSIS is greater for firms whose valuation is uncertain and difficult to arbitrage. Moreover, we provide evidence of return reversals over post-announcement periods. Our results highlight the importance of FSIS around earnings announcements.

KW - Earnings surprises

KW - Investor sentiment

KW - Social Media

KW - StockTwits

KW - Twitter

UR - http://www.scopus.com/inward/record.url?scp=85135043609&partnerID=8YFLogxK

U2 - 10.1111/eufm.12384

DO - 10.1111/eufm.12384

M3 - Article

VL - 29

SP - 953

EP - 986

JO - European Financial Management

JF - European Financial Management

IS - 3

ER -

Twitter Investor Sentiment and Corporate Earnings Announcements

Abstract

Bibliographical note

Keywords

Access to Document

Other files and links

Fingerprint

Cite this