The Predictive Power of Twitter Sentiment Index on U.S. Stock Returns
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Abstract
Using a novel Twitter-based investor sentiment index, this research investigates whether investor sentiment from social media, as expressed in daily Twitter messages, has predictive power with respect to stock returns. Based on hierarchical regressions, the empirical results show that the Twitter sentiment index has additional predictive power for U.S. stock returns, which is not captured by traditional factors, such as market risk premium, firm size, book-to-market ratio, or momentum. The results suggest that investor sentiments from social media significantly affect short-term equity value. Thus, individual investors and fund managers should be aware of the impact social media sentiment can have on both their own portfolios and fund managers’ investment strategies.
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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
ลิขสิทธิ์ของบทความ
ผลงานที่ได้รับการตีพิมพ์ถือเป็นลิขสิทธิ์ของมหาวิทยาลัยหอการค้าไทย ห้ามมิให้นำเนื้อหา ทัศนะ หรือข้อคิดเห็นใด ๆ ของผลงานไปทำซ้ำ ดัดแปลง หรือเผยแพร่ ไม่ว่าทั้งหมดหรือบางส่วนโดยไม่ได้รับอนุญาตเป็นลายลักษณ์อักษรจากมหาวิทยาลัยหอการค้าไทยก่อน
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