The price impact of tweets: A high‐frequency study
研究了社交媒体情绪如何影响股票价格，发现推文数量和情绪增强买方交易的价格影响，且这种误定价需要数天才能纠正。
Abstract We examine the mechanism by which social media sentiment affects stock prices. Specifically, we assess the impact of Twitter feeds on stock returns at the intraday level. We find that an increase in buyer‐initiated trades has a significantly positive price impact. This impact, however, is stronger with an increase in the number of tweets and sentiment, and persists even after controlling for volatility, liquidity shock, and limit‐order activity. The impact of Twitter sentiment on prices causes a lingering mispricing effect that is not fully assimilated at the intraday level. Rather, this mispricing takes several days to correct.