Social Interaction and Market Reaction to Earnings

David Hirshleifer, Lin Peng, Qiguang Wang

Research output: Contribution to conferenceConference paperpeer-review


Using Facebook Social Connectedness Index to identify the network centrality of a firm based on its headquarter location, we study how information propagates through social network and affects asset prices. We find that earnings announcements made by central firms attract more attention from both retail and institutional investors, generate stronger immediate reactions in prices, trading volume and return volatility, and weaker post announcement drifts. In addition, these announcements are followed by less persistent volatility but more persist investor attention and volume, especially disagreement-driven volume. Our evidence suggests a dual role of social interaction: it promotes information efficiency by facilitating public information diffusion, but also induces investor disagreement and excess trading volume.
Original languageEnglish
Number of pages54
Publication statusPublished - 11 Jul 2019
EventChina International Conference in Finance, CICF 2019 - Guangzhou, China
Duration: 9 Jul 201912 Jul 2019


ConferenceChina International Conference in Finance, CICF 2019
Internet address

User-Defined Keywords

  • Facebook
  • Social Network
  • Earnings Announcemen
  • Information Diffusion
  • Investor Disagreement


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