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 output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

173 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

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10.1111/eufm.12384Licence: CC BY

PublishedFinal published version, 2.52 MBLicence: CC BY

Cite this

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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.",

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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

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JF - European Financial Management

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ER -

Twitter Investor Sentiment and Corporate Earnings Announcements

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