Social media and cost of debt financing: Evidence from stock forum text analysis
研究发现，债券发行前30天社交媒体上的帖子/评论越多，债券发行利差越小，且信息质量提升会增强这一负相关关系，对信息需求高或宏观经济恶化时效果更显著。
Abstract In this article, we examine whether and how small investors’ social media activity is associated with subsequent bond credit spreads. We use extensive data from posts/comments on social media 30 days before the bond issuance announcement date to identify their implied power and find that the more posts/comments, the smaller the bond issuance spreads. We further find that information quality improvement of posts increases this negative relation between social media activity and bond cost, and that posts directly related to issuers’ fundamentals and/or debt financing drive our main results. Additional tests show that the effect is more salient when there is a greater demand for information quality or when macroeconomic conditions worsen.