Abstract
AbstractWe classify the sentiment of a large sample of StockTwits messages as bullish, bearish or neutral, and create a stock-aggregate daily sentiment polarity measure. Polarity is positively associated with contemporaneous stock returns. On average, polarity is not able to predict next-day stock returns. But when we condition on specific events, defined as sudden peaks of message volume, polarity has predictive power on abnormal returns. Polarity-sorted portfolios illustrate the economic relevance of our sentiment measure.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
