title: Twitter sentiment around the Earnings Announcement events.
abstract: We investigate the relationship between social media, Twitter in particular, and stock market. We provide an in-depth analysis of the Twitter volume and sentiment about the 30 companies in the Dow Jones Industrial Average index, over a period of three years. We focus on Earnings Announcements and show that there is a considerable difference with respect to when the announcements are made: before the market opens or after the market closes. The two different timings of the Earnings Announcements were already investigated in the financial literature, but not yet in the social media. We analyze the differences in terms of the Twitter volumes, cumulative abnormal returns, trade returns, and earnings surprises. We report mixed results. On the one hand, we show that the Twitter sentiment (the collective opinion of the users) on the day of the announcement very well reflects the stock moves on the same day. We demonstrate this by applying the event study methodology, where the polarity of the Earnings Announcements is computed from the Twitter sentiment. Cumulative abnormal returns are high (2-4%) and statistically significant. On the other hand, we find only weak predictive power of the Twitter sentiment one day in advance. It turns out that it is important how to account for the announcements made after the market closes. These after-hours announcements draw high Twitter activity immediately, but volume and price changes in trading are observed only on the next day. On the day before the announcements, the Twitter volume is low, and the sentiment has very weak predictive power. A useful lesson learned is the importance of the proper alignment between the announcements, trading and Twitter data.
authors.affiliation: Department of Knowledge Technologies, Jožef Stefan Institute, Ljubljana, Slovenia.
authors.forename: Peter
authors.initials: P
authors.lastname: Gabrovšek
authors.affiliation: Department of Knowledge Technologies, Jožef Stefan Institute, Ljubljana, Slovenia.
authors.forename: Darko
authors.initials: D
authors.lastname: Aleksovski
authors.affiliation: Department of Knowledge Technologies, Jožef Stefan Institute, Ljubljana, Slovenia.
authors.forename: Igor
authors.identifier: http://orcid.org/0000-0002-5466-0608
authors.initials: I
authors.lastname: Mozetič
authors.affiliation: Department of Knowledge Technologies, Jožef Stefan Institute, Ljubljana, Slovenia.
authors.forename: Miha
authors.initials: M
authors.lastname: Grčar
mesh_terms: D004644:Emotions; D005544:Forecasting; D006801:Humans; D007182:Income / Q000706:statistics & numerical data*; D007449:Investments / Q000706:statistics & numerical data*; D061108:Social Media