Document Type
Working Paper
Publication Date
12-8-2014
College/Unit
Chambers College of Business and Economics
Document Number
14-38
Department/Program/Center
Economics
Abstract
The recent behavioral finance literature has found investor sentiment having some predictive ability in equity returns. This differs from the standard finance theory provides no role for investor sentiment. We examine the relationship between investor sentiment and stock returns by employing textual analysis on social media posts. Overall we find that our investor sentiment measure has a positive and significant effect on stock returns. These finds are consistent across a number of different models and specifications, thus finding further evidence against the standard finance theory.
Digital Commons Citation
McGurk, Zachery and Nowak, Adam D., "The Relationship Between Stock Returns and Investor Sentiment: Evidence from Social Media" (2014). Economics Faculty Working Papers Series. 131.
https://researchrepository.wvu.edu/econ_working-papers/131