Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 18, 2022 erstellt
Description:
We examine the mechanism by which social media sentiment affects stock prices. Specifically, we assess the impact of Twitter feeds on stock returns at the intraday level. We find that an increase in buyer-initiated trades has a significantly positive price impact. The impact is stronger with an increase in the number of tweets and sentiment, and persists even after controlling for volatility, liquidity shock, and limit-order activity. Both bullish and bearish tweets amplify the impact of trades on returns. The impact of Twitter sentiment on prices causes a permanent price movement, indicating that Twitter sentiment contains information