Twitter Investor Sentiment and Corporate Earnings Announcements

TY - JOUR

T1 - Twitter Investor Sentiment and Corporate Earnings Announcements

AU - Karampatsas, Nikolaos

AU - Malekpour, Soheila

AU - Mason, Andrew

AU - Mavis, Christos P.

PY - 2023

Y1 - 2023

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 firm-specific investor sentiment 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 firm-specific investor sentiment around earnings announcements.

KW - Investor sentiment; Social media; Twitter; StockTwits; Earnings surprises

U2 - 10.1111/eufm.12384

DO - 10.1111/eufm.12384

M3 - Article

SN - 1468-036X

VL - 29

SP - 953

JO - European Financial Management

JF - European Financial Management

IS - 3

ER -