Tweets and Trades: the Information Content of Stock Microblogs

Microblogging forums (e.g., Twitter) have become a vibrant online platform for exchanging stock‐related information. Using methods from computational linguistics, we analyse roughly 250,000 stock‐related messages (so‐called tweets) on a daily basis. We find an association between tweet sentiment and stock returns, message volume and trading volume, as well as disagreement and volatility. In contrast to previous related research, we also analyse the mechanism leading to an efficient aggregation of information in microblogging forums. Our results demonstrate that users providing above average investment advice are retweeted (i.e., quoted) more often and have more followers, which amplifies their share of voice.     

基于股市投资者情绪的非理性投机泡沫模型研究

针对股市非理性投机泡沫研究的不足,通过引入投资者情绪构建基于噪声交易者模型的非理性投机泡沫模型,以此研究噪声交易者的认知偏差,其在投资过程中所带有的情绪及其对风险资产历史基础价值冲击的过度反应对股市投机泡沫的影响。结果表明：市场中带情绪的噪声交易者数量越多,股价中的非理性投机泡沫成分越大,其波动程度也越剧烈。     

Social media,political uncertainty,and stock markets

Review of Quantitative Finance and Accounting - This study proposes a new measure of firm-level uncertainty exposure around important political events. More specifically, we construct a degree of...     

Twitter investor sentiment and corporate earnings announcements

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.     

Institutional investor sentiment and aggregate stock returns

This paper examines the equity market return predictability of institutional investor sentiment, in comparison to individual investor sentiment. Our findings suggest that institutional traders are informed and that their sentiment helps to tilt stock prices towards the intrinsic value. This is because the sentiment of institutions encompasses news regarding expectations on future cash flows of underlying firms that impounds itself into future price expectations. In this study, we add to the large number of studies that investigate the role and implications of investor sentiment, which has long been viewed as a pure behavioural phenomenon, on market efficiency and price discovery.     

个人投资者情绪对企业履行社会责任的影响

基于利益相关者理论,运用多元回归模型,依据2010-2018年度企业社会责任相关数据,将中国A股非金融类上市公司分为重污染企业和非重污染企业,考量个人投资者情绪对企业社会责任的影响.结果显示:个人投资者情绪越积极,企业社会责任履行状况越好;个人投资者情绪治理的效果会受污染异质性影响,相对于非重污染企业而言,个人投资者情绪对于重污染企业社会责任履行的影响更显著.鉴于此,应建立投资者情绪监测机制、鼓励社会责任投资等.     

Institutional trading,investor sentiment,and lottery-like stock preferences

This paper explores the time-varying institutional investor preference for lottery-like stocks. On average, institutional investor holdings reflect an aversion to lottery-like stocks. However, I find that an institutions’ aversion to lottery-like stocks is reduced when investor sentiment is low. Moreover, I find that during low sentiment periods, institutional investors have abnormally high trading profits in more positively skewed stocks. These results suggest that institutions reduce their aversion toward lottery-like stocks during low sentiment periods to profitably trade in lottery-like stocks.     

Exchange-traded fund ownership and underlying stock mispricing

In response to the increasing proliferation of exchange-traded funds (ETFs), and a warning from the Wall Street hero Michael Burry that passive investing has put the stock market into ‘bubble’ territory, we examine the relation between stock ownership by ETFs and mispricing from 2002 to 2018. We find that increased ETF ownership induces overpricing in underlying stocks. We then identify three mechanisms for this relationship: the overpricing of stocks attributable to increased ETF ownership is stronger for stocks that experience an increase in passive ETF ownership; during periods characterised by high investor sentiment; and for illiquid stocks. Our results are robust to a battery of tests including alternative measures for all key variables and are not confounded by the global financial crisis. Additional analyses show that mispricing caused by ETF ownership change is not driven by firm fundamentals and does not exacerbate stocks' information environment around earnings announcement.     

Consumer confidence indices and stock markets' meltdowns

Consumer confidence indices (CCIs) are a closely monitored barometer of countries' economic health and an informative forecasting tool. Using European and US data, we provide a case study of the two recent stock market meltdowns (the post-dotcom bubble correction of 2000–2002 and the 2007–2009 decline at the beginning of the financial crisis) to contribute to the discussion on their appropriateness as proxies for stock markets' investor sentiment. Investor sentiment should positively covary with stock market movements [DeLong, Shleifer, Summers, and Waldmann. 1990. “Noise Trader Risk in Financial Markets.” Journal of Political Economy 98 (4): 703–738]; however, we find that the CCI–stock market relationship is not universally positive. We also do not find support for the information effect documented in the previous literature, but identify a more subtle relationship between consumer expectations about future household finances and stock market fluctuations.     

Tehran stock exchange prediction using sentiment analysis of online textual opinions

We investigate the impact of social media data in predicting the Tehran Stock Exchange variables for the first time. We consider the closing price and daily return of three different stocks for this investigation. We collected our social media data from Sahamyab.com/stocktwits for about 3 months. To extract information from online comments, we propose a hybrid sentiment analysis approach that combines lexicon‐based and learning‐based methods. Since lexicons that are available for the Persian language are not practical for sentiment analysis in the stock market domain, we built a particular sentiment lexicon for this domain. After designing and calculating daily sentiment indices using the sentiment of the comments, we examine their impact on the baseline models that only use historical market data and propose new predictor models using multi‐regression analysis. In addition to the sentiments, we also examine the comments volume and the users' reliabilities. We conclude that the predictability of various stocks in the Tehran Stock Exchange is different depending on their attributes. Moreover, we indicate that only comments volume could be useful for predicting the closing price, and both the volume and the sentiment of the comments could be useful for predicting the daily return. We demonstrate that users' trust coefficients have different behaviours toward the three stocks.     

Investor Sentiment and Stock Returns: Evidence from Turkey

This paper investigates the relation between investor sentiment and stock returns on the Istanbul Stock Exchange, employing vector autoregressive (VAR) analysis and Granger causality tests. The sample period extends from July 1997 to June 2005. In the VAR models, stock portfolio returns and investor sentiment proxies are used as endogenous variables. Two dummy variables accounting for natural and economic crises are used as exogenous variables. The analysis results suggest that, excepting shares of equity issues in aggregate issues, stock portfolio returns seem to affect all investor sentiment proxies, namely closed-end fund discount, mutual fund flows, odd-lot sales-to-purchases ratio, and repo holdings of mutual funds. Investor sentiment does not appear to forecast future stock returns; only the turnover ratio of the stock market seems to have forecasting potential.     

Contracts valuation assessment noise and cross-border listing of equities on U.S. and U.K. stock markets

This study develops and tests the hypothesis that firms in the home country have capital market incentives to cross-border list on foreign stock exchanges that have similar financial reporting with local generally accepted accounting principles (GAAP). Non-U.S. firms' contracts and the underlying GAAP are based on the home-country culture and institutional climates. This connection with culture and institution makes the local GAAP's assessment of the contracts less spurious relative to foreign GAAP. Ball et al. [J. Account. Econ. 29 (2000) 1] note that contracting with stakeholders in the home markets is based on local GAAP's numbers, while cross-border listing provides settings in which the value relevance of local GAAP-based contracts is assessed based on foreign GAAP. Therefore, foreign investors' assessment of the contracts using foreign stock exchange GAAP or mindset of foreign GAAP is likely to result in an assessment noise, which is value irrelevant. The level of assessment noise depends on the differences between foreign and local GAAP. Because of the valuation implications of the assessment noise, we expect cross-border listing to diminish as the likelihood of assessment noise increases.As predicted, we find that assessment noise undermines cross-border listing on U.S. stock exchanges. Because U.S. and local GAAPs are based on different cultural and institutional environments, assessment noise arises if U.S. investors use the mindset of U.S. GAAP financial reports to assess local GAAP-based contracts of cross-border firms. The results are robust in the London Stock Exchange in which assessment noise is induced by interpreting local GAAP contracts as if they were based on U.K. GAAP. As expected, the influences of assessment noise on cross-border listings are more robust in the United States than in the United Kingdom. Our results suggest that harmonization of financial reporting is critical in attenuating the influences of assessment noise on global capital market developments.     

Natural Language Processing in Accounting,Auditing and Finance: A Synthesis of the Literature with a Roadmap for Future Research

Natural language processing (NLP) is a part of the artificial intelligence domain focused on communication between humans and computers. NLP attempts to address the inherent problem that while human communications are often ambiguous and imprecise, computers require unambiguous and precise messages to enable understanding. The accounting, auditing and finance domains frequently put forth textual documents intended to communicate a wide variety of messages, including, but not limited to, corporate financial performance, management's assessment of current and future firm performance, analysts’ assessments of firm performance, domain standards and regulations as well as evidence of compliance with relevant standards and regulations. NLP applications have been used to mine these documents to obtain insights, make inferences and to create additional methodologies and artefacts to advance knowledge in accounting, auditing and finance. This paper synthesizes the extant literature in NLP in accounting, auditing and finance to establish the state of current knowledge and to identify paths for future research. Copyright © 2016 John Wiley & Sons, Ltd.     

Social media information dissemination and corporate bad news hoarding

This paper investigates the role of social media in mitigating corporate bad news hoarding from a stock price crash risk perspective. Using a sample of public listed firms from 2008–2019, we find that social media (Guba) posts could significantly reduce firms’ stock price crash risks in the Chinese stock market. Furthermore, we find that the information intermediation function and complementary corporate governance function enable Guba to achieve such an effect. In addition, investor attention mediates the relationship between Guba posts and management withholding bad news. Our result still holds after a series of robustness checks, including an RDD approach.     

Returns,volatility and investor sentiment: Evidence from European stock markets

In this study, we show that patterns in returns behave as if investors, influenced by their level of optimism, selected stocks according to their volatility. Our goal is to confirm the contribution of behavioral finance while showing that investor sentiment can be profitably used by practitioners. We incorporate volatility in the relationship between investor sentiment and future returns, this is the main originality of our approach. Our methodology consists in comparing returns, volatility and higher-order moments of portfolios managed with investor sentiment against those obtained either with passive (buy and hold) portfolio management or with a minimum variance portfolio. Portfolios managed with investor sentiment have better returns and involve less risk under certain conditions.     

Government social media and corporate tax avoidance

With the advent of the new media era, government social media have become an important paradigm for social governance. We perform a large-sample regression and reveal that the higher the quality of taxation bureaus’ operation of government social media, the lower the degree of local enterprises’ tax avoidance, which works through reducing tax avoidance incentives and increasing the difficulty of committing tax avoidance. Moreover, government social media play a substitution effect on tax enforcement and administration. We also find that government social media should focus on strengthening its official, formal and professional characteristics. Given the significant recent changes in how enterprises handle taxation, the proportion of information that taxation bureaus post on system operation should be appropriately increased.     

Accounting narratives and impression management on social media

In this paper, we examine the defensive and assertive impression management strategies and the impact of firm performance on accounting narratives by investigating the earnings disclosures of FTSE 100 companies on Twitter. Social media has become the prevailing venue for organisational self-presentation because it provides firms with more control over the image they intend to establish and maintain through the communication and content they deliver online. Our findings show that firms minimise the disclosures of negative information but employ various patterns and dissemination techniques to emphasise positive information. Specifically, improving performers are more willing to post and disseminate earnings-related tweets to achieve a higher degree of stakeholder engagement than declining performers. Based on these findings, we conclude that firms present themselves on social media opportunistically to construct a positive public image.     

Accounting students access to social media related resources and the risk of tacit social exclusion

ABSTRACT

The use of social media platforms to facilitate teaching and learning requires resources (hardware and Internet access) to enable active student participation. Limited access to these resources may impair students’ learning and, should the students consequently fail to graduate, tacitly contribute to their social exclusion. The results of a survey amongst students at a South African university, identified statistically significant differences relating to hardware and Internet access between more affluent students, and lower income students. Using social media may, therefore, be countering the objective of widening the admissions to universities in South Africa as an attempt to address past exclusionary practices. This study raises awareness with instructors and administrators globally, about the risk of tacit social exclusion, as a result of the tools selected to facilitate learning.     

Greenpeace v. Shell: media exploitation and the Social Amplification of Risk Framework (SARF)

This paper examines the usefulness of the Social Amplification of Risk Framework (SARF) in understanding the media's role in risk communication. Since the SARF was created in 1988, it has been both further developed and critiqued for (amongst other things) its: static conception of communication; lack of attention towards how key actors use the media; lack of systematic attention towards the media as an amplification station; and simplistic assumptions of how the media operate as an amplification station. A complex heavily‐mediated risk communication case study—the battle between Greenpeace and Shell over the deep‐sea disposal of the Brent Spar oil rig (1995)—is used to explore whether the SARF in its current stage of development stands up to these critiques. It is concluded that these critiques are more a consequence of how researchers have used the SARF rather than a fault of the SARF itself. Using the SARF framework with a qualitative case study methodology enabled systematic analysis of the role of relevant media in the social amplification of risk in the Spar issue, exposing how Greenpeace used the media to successfully communicate three risk signals, together with the inadequacies of Shell's reactions; and revealing the layering within amplification stations, including the media itself.     

Communication management during risk events and crises in a globalised world: Predictability of domestic media attention for calamities

While governments are concerned with controlling domestic safety issues and preventing resulting potential societal disruptions, events abroad can trigger similar effects. Globalisation magnifies the media attention for events, domestic and abroad, which poses new challenges for authorities. This paper suggests additional approaches for governments to address such situations. Based on interviews with experts and representatives of authorities and analysis of Dutch media attention for external safety events, this paper identifies criteria that can predict media attention and factors that may contribute to effective policy responses. Both can contribute to help to manage external safety risk events. The study shows that media response is predictable to a certain extent. This insight can be a tool in the wider range of measures for authorities to help manage a crisis situation and in particular strategies to cope with the media.