Accepted version 20_09_21.pdf (1.32 MB)
Investor sentiment and the dispersion of stock returns: evidence based on the social network of investors
journal contribution
posted on 2023-06-10, 01:02 authored by Alya Al-Nasseri, Faek Menla AliFaek Menla Ali, Allan TuckerThis paper extracts an investor sentiment indicator for the 30 DJIA stocks based on the textual classification of 289,024 online tweets posted on the so-called StockTwits, and examines its contemporaneous and predictability effects on the dispersion of stock returns using the quantile regression technique. We find that both contemporaneous and predictability effects of sentiment are heterogeneous throughout the return distribution. Specifically, sentiment is positively contemporaneously associated with stock returns at higher quantiles. However, it is a strong negative predictor of future returns at lower quantiles. Overall, our findings are broadly consistent with most behavioural theories and show that sentiment mainly affects the valuation of assets in extreme market conditions.
History
Publication status
- Published
File Version
- Accepted version
Journal
International Review of Financial AnalysisISSN
1057-5219Publisher
ElsevierExternal DOI
Volume
78Article number
a101910Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2021-09-21First Open Access (FOA) Date
2023-03-26First Compliant Deposit (FCD) Date
2021-09-20Usage metrics
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