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.
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 language | English |
---|---|
Place of Publication | Dundee |
Publisher | University of Dundee, Department of Economic Studies |
Number of pages | 32 |
Publication status | Published - 17 Feb 2016 |
Publication series
Name | Dundee Discussion Papers in Economics |
---|---|
Publisher | University of Dundee, Department of Economic Studies |
No. | 293 |
ISSN (Print) | 1473-236X |
Keywords
- Social media
- Prediction markets
- Fundamentals
- Sentiment
- Mispricing