News Diffusion in Social Networks and Stock Market Reactions
研究公共新闻通过社交网络传播如何影响投资者信念和证券市场，发现来自高社交连通性县的公司在财报公告后价格反应更强、漂移更弱，但交易量更高且更持久。
Abstract We study how the social transmission of public news influences investors’ beliefs and the securities markets. Using data on social networks, we find that earnings announcements from firms in higher-centrality counties generate a stronger immediate price, volatility, and trading volume reactions. Post-announcement, such firms experience weaker price drift and faster volatility decay but higher and more persistent volume. These findings suggest greater social connectedness facilitates the timely incorporation of news into prices, as well as opinion divergence and excessive trading. We propose the social churning hypothesis, which is confirmed using granular data from StockTwits messages and household trading records.