Abstract
This paper examines the impact of sentiment in an online message forum on stock returns. Using a novel controlled experiment, we collect a large panel of messages with no fundamental information but strong sentiment and stock return data. We find a significant causal effect of social media sentiment on the same-day stock returns. The sentiment has no significant effects on stock returns on subsequent days. This effect is mainly driven by messages with positive sentiment, which has a strong positive impact on stock returns. Our results establish a causal relationship between social media sentiment and stock returns and highlight the risk of market manipulation via social media.
Original language | English |
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Article number | 110598 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 216 |
DOIs | |
Publication status | Published - Jul 2022 |
Scopus Subject Areas
- Finance
- Economics and Econometrics
User-Defined Keywords
- Sentiment
- Online message board
- Stock return