Document Type
Working Paper
Publication Date
2019
College/Unit
Chambers College of Business and Economics
Document Number
19-03
Department/Program/Center
Economics
Abstract
The behavioral finance literature has found that investor sentiment has predictive ability for equity returns. This differs from standard finance theory, which provides no role for investor sentiment. We examine the relationship between investor sentiment and stock returns by employing textual analysis on social media posts. We find that our investor sentiment measure has a positive and significant effect on abnormal stock returns. These findings are consistent across a number of different models and specifications, providing further evidence against non-behavioral theories.
Digital Commons Citation
McGurk, Zachary; Nowak, Adam; and Hall, Joshua C., "Stock Returns and Investor Sentiment: Textual Analysis and Social Media" (2019). Economics Faculty Working Papers Series. 37.
https://researchrepository.wvu.edu/econ_working-papers/37