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Impact of Firm-Initiated Tweets on Stock Return and Trading Volume.

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Title: Impact of Firm-Initiated Tweets on Stock Return and Trading Volume.
Authors: Ganesh, Aditya (AUTHOR), Iyer, Subramanian (AUTHOR)
Source: Journal of Behavioral Finance. Apr-Jun2023, Vol. 24 Issue 2, p171-182. 12p.
Subjects: X Corp., Fortune 500 companies, Stocks (Finance), Securities trading volume, Dow Jones industrial average, Vector autoregression model, Investors
Abstract: Recent SEC guidelines enabled many Fortune 500 companies to actively adopt social media, such as Twitter, to disseminate information. In this paper, we analyze the relationship between tweets by corporations and stock returns. Our study used over 1.2 million corporate tweets made by thirty companies in the Dow Jones Industrial Average between April 2013 and July 2020. The shocks from the frequency of corporate tweets can positively impact stock returns and trading volume. We, therefore, examine causality and impulse response between frequency of corporate tweets, stock returns, and changes in trading volume using a vector autoregression model. Our findings indicate that 43 percent of stocks exhibit Granger causality between firm-initiated tweets and changes in trading volume. We find evidence consistent with the attention-induced price pressure hypothesis proposed by Barber and Odean. We observe that a shock in corporate tweeting behavior translates into a positive effect on changes in trading volume and returns in 73 percent and 60 percent of stocks, respectively. These results are significant for developing appropriate social media communication strategies. The findings are also valuable for investors and traders who can deploy forecasting models utilizing corporate tweets to earn superior returns. [ABSTRACT FROM AUTHOR]
Copyright of Journal of Behavioral Finance is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Psychology and Behavioral Sciences Collection
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  Data: Impact of Firm-Initiated Tweets on Stock Return and Trading Volume.
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  Data: <searchLink fieldCode="AR" term="%22Ganesh%2C+Aditya%22">Ganesh, Aditya</searchLink> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22Iyer%2C+Subramanian%22">Iyer, Subramanian</searchLink> (AUTHOR)
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  Data: <searchLink fieldCode="JN" term="%22Journal+of+Behavioral+Finance%22">Journal of Behavioral Finance</searchLink>. Apr-Jun2023, Vol. 24 Issue 2, p171-182. 12p.
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  Data: <searchLink fieldCode="DE" term="%22X+Corp%2E%22">X Corp.</searchLink><br /><searchLink fieldCode="DE" term="%22Fortune+500+companies%22">Fortune 500 companies</searchLink><br /><searchLink fieldCode="DE" term="%22Stocks+%28Finance%29%22">Stocks (Finance)</searchLink><br /><searchLink fieldCode="DE" term="%22Securities+trading+volume%22">Securities trading volume</searchLink><br /><searchLink fieldCode="DE" term="%22Dow+Jones+industrial+average%22">Dow Jones industrial average</searchLink><br /><searchLink fieldCode="DE" term="%22Vector+autoregression+model%22">Vector autoregression model</searchLink><br /><searchLink fieldCode="DE" term="%22Investors%22">Investors</searchLink>
– Name: Abstract
  Label: Abstract
  Group: Ab
  Data: Recent SEC guidelines enabled many Fortune 500 companies to actively adopt social media, such as Twitter, to disseminate information. In this paper, we analyze the relationship between tweets by corporations and stock returns. Our study used over 1.2 million corporate tweets made by thirty companies in the Dow Jones Industrial Average between April 2013 and July 2020. The shocks from the frequency of corporate tweets can positively impact stock returns and trading volume. We, therefore, examine causality and impulse response between frequency of corporate tweets, stock returns, and changes in trading volume using a vector autoregression model. Our findings indicate that 43 percent of stocks exhibit Granger causality between firm-initiated tweets and changes in trading volume. We find evidence consistent with the attention-induced price pressure hypothesis proposed by Barber and Odean. We observe that a shock in corporate tweeting behavior translates into a positive effect on changes in trading volume and returns in 73 percent and 60 percent of stocks, respectively. These results are significant for developing appropriate social media communication strategies. The findings are also valuable for investors and traders who can deploy forecasting models utilizing corporate tweets to earn superior returns. [ABSTRACT FROM AUTHOR]
– Name: AbstractSuppliedCopyright
  Label:
  Group: Ab
  Data: <i>Copyright of Journal of Behavioral Finance is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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RecordInfo BibRecord:
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      – Type: doi
        Value: 10.1080/15427560.2021.1949717
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      – Code: eng
        Text: English
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        PageCount: 12
        StartPage: 171
    Subjects:
      – SubjectFull: X Corp.
        Type: general
      – SubjectFull: Fortune 500 companies
        Type: general
      – SubjectFull: Stocks (Finance)
        Type: general
      – SubjectFull: Securities trading volume
        Type: general
      – SubjectFull: Dow Jones industrial average
        Type: general
      – SubjectFull: Vector autoregression model
        Type: general
      – SubjectFull: Investors
        Type: general
    Titles:
      – TitleFull: Impact of Firm-Initiated Tweets on Stock Return and Trading Volume.
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            NameFull: Ganesh, Aditya
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            NameFull: Iyer, Subramanian
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            – D: 01
              M: 04
              Text: Apr-Jun2023
              Type: published
              Y: 2023
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