Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair

Alasdair Brown (Lead / Corresponding author), Dooruj Rambaccussing, J. James Reade, Giambattista Rossi

    Research output: Working paper

    Abstract

    Information extracted from social media has been used by academics, and increasingly
    by practitioners, to predict stock returns. But to what extent does social media
    output predict asset fundamentals, and not simply short-term returns? In this paper we
    analyse 13.8m posts on Twitter, and high-frequency betting data from Betfair, concerning
    English Premier League soccer matches in 2013/14. Crucially, asset fundamentals
    are revealed at the end of play. We find that the Tweets of certain journalists, and the
    tone of all Tweets, contain fundamental information not revealed in betting prices. In
    particular, Tweets aid in the interpretation of news during matches.
    Original languageEnglish
    Place of PublicationDundee
    PublisherUniversity of Dundee, Department of Economic Studies
    Number of pages32
    Publication statusPublished - 17 Feb 2016

    Publication series

    NameDundee Discussion Papers in Economics
    PublisherUniversity of Dundee, Department of Economic Studies
    No.293
    ISSN (Print)1473-236X

    Keywords

    • Social media
    • Prediction markets
    • Fundamentals
    • Sentiment
    • Mispricing

    Fingerprint Dive into the research topics of 'Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair'. Together they form a unique fingerprint.

  • Cite this

    Brown, A., Rambaccussing, D., Reade, J. J., & Rossi, G. (2016). Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair. (Dundee Discussion Papers in Economics; No. 293). University of Dundee, Department of Economic Studies .