Twitter and cryptocurrency pump-and-dumps
研究了推特上加密货币推广与拉高出货事件前后收益变化的关系，发现推特能吸引注意力并影响异常收益，依赖推特信息的投资者在抛售阶段延迟卖出而遭受更大损失。
We study the relation between the promotion of a cryptocurrency on Twitter and its return dynamics around pump-and-dump events. By analyzing abnormal returns, trading volume, and tweet activity, we uncover that Twitter effectively garners attention for pump-and-dump schemes, leading to notable effects on abnormal returns before the event. Our results indicate that investors relying on Twitter information exhibit delayed selling behavior during the post-dump phase, resulting in significant losses compared to other participants. We also find that, while tweets directly promoting pump schemes align with anticipated market phases, a noteworthy portion of indirect, non-pump-aware tweets significantly influence market movements pre-event.