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Debreceny, Roger S.; Rahman, Asheq; Wang, Tawei

Is User-Generated Twittersphere Activity Associated with Stock Market Reactions to 8-K Filings?

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  • Medientyp: E-Artikel
  • Titel: Is User-Generated Twittersphere Activity Associated with Stock Market Reactions to 8-K Filings?
  • Beteiligte: Debreceny, Roger S.; Rahman, Asheq; Wang, Tawei
  • Erschienen: American Accounting Association, 2021
  • Erschienen in: Journal of Information Systems, 35 (2021) 2, Seite 195-217
  • Sprache: Englisch
  • DOI: 10.2308/isys-2020-034
  • ISSN: 1558-7959; 0888-7985
  • Entstehung:
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  • Beschreibung: <jats:title>ABSTRACT</jats:title><jats:p>Prior studies have demonstrated that company-generated tweets as a device for the dissemination of corporate announcements help reduce information asymmetry. This paper demonstrates that user-generated tweets around corporate announcements have information content in addition to the information content of the announcement itself. Using a sample of S&amp;P 1500 firms, we test the effects of abnormal levels of user-generated tweets and abnormal sentiment in the tweets over the three days surrounding 8-K filings of unanticipated events on market returns and liquidity of stocks. Results show that abnormal levels of user-generated tweets are positively associated with both the absolute cumulative abnormal returns and cumulative abnormal trading volume. We also find an indication of a cautionary stance by the market when sentiment is negative around the announcements. Our results have economic significance from both the stock valuation and the stock liquidity perspectives.</jats:p><jats:p>JEL Classifications: M41.</jats:p>