Twitter investor sentiment and corporate earnings announcements
研究了公司特定推特情绪对负向和正向盈余意外股票收益的影响，发现其对负向意外影响更大，且估值不确定和套利困难的股票更显著，公告后存在收益反转。
Abstract We examine the impact of firm‐specific investor sentiment (FSIS) on stock returns for negative and positive earnings surprises. Using a measure constructed from firm‐specific tweets, we find that FSIS has a greater impact on stock returns for negative relative to positive earnings surprises. We further show that the impact of FSIS is greater for firms whose valuation is uncertain and difficult to arbitrage. Moreover, we provide evidence of return reversals over post‐announcement periods. Our results highlight the importance of FSIS around earnings announcements.