Can Twitter Help Predict Firm-Level Earnings and Stock Returns?

2017 ◽  
Vol 93 (3) ◽  
pp. 25-57 ◽  
Author(s):  
Eli Bartov ◽  
Lucile Faurel ◽  
Partha S. Mohanram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Future Prospects ◽  
Traditional Media ◽  
Stock Trading ◽  
Firm Level ◽  
Quarterly Earnings ◽  
Announcement Returns ◽  
Twitter Activity ◽  
Original Information

ABSTRACT Prior research has examined how companies exploit Twitter in communicating with investors, and whether Twitter activity predicts the stock market as a whole. We test whether opinions of individuals tweeted just prior to a firm's earnings announcement predict its earnings and announcement returns. Using a broad sample from 2009 to 2012, we find that the aggregate opinion from individual tweets successfully predicts a firm's forthcoming quarterly earnings and announcement returns. These results hold for tweets that convey original information, as well as tweets that disseminate existing information, and are stronger for tweets providing information directly related to firm fundamentals and stock trading. Importantly, our results hold even after controlling for concurrent information or opinion from traditional media sources, and are stronger for firms in weaker information environments. Our findings highlight the importance of considering the aggregate opinion from individual tweets when assessing a stock's future prospects and value.

The Lead-Lag Relationship between the Stock Market and CDS Market in Korea

2010 ◽  
Vol 18 (4) ◽  
pp. 1-22
Author(s):  
Kwangil Bae ◽  
Hankil Kang ◽  
Changjun Lee
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Empirical Finding ◽  
Sample Analysis ◽  
Firm Level ◽  
Level Data ◽  
Firm Level Data ◽  
Controlling Variables ◽  
Bid Ask Spreads ◽  
Number Of Firms

This study examines the lead-lag relationship between the stock market and CDS market in Korea using the firm-level data during 2006-2009. Our main findings can be summarized as follows. First, our empirical finding shows that stock returns Granger cause CDS spread changes for a larger number of firms than vice versa. Second, the sub-sample analysis reveals that while the stock market leads the CDS market in each sub-sample, the lead-lag relationship is more pronounced in the post-crisis period. Finally, our main findings remain the same even in the presence of controlling variables such as equity volatilities, absolute bid-ask spreads, and CDS premium on foreign exchange stabilization bonds issued by Korean government. In sum, consistent with the U. S. and U. K. evidence, it appears that the stock market leads the CDS market in Korea.

scholarly journals Quarterly Earnings Announcement Effect on Stock Return and Trading Volume in Nepal

2019 ◽  
Vol 4 ◽  
pp. 32-47
Author(s):  
Jeetendra Dangol ◽  
Ajay Bhandari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Earnings Announcements ◽  
Good News ◽  
Fiscal Year ◽  
Event Analysis ◽  
Earnings Announcement ◽  
Quarterly Earnings ◽  
Analysis Methodology

The study examines the stock returns and trading volume reaction to quarterly earnings announcements using the event analysis methodology. Ten commercial banks with 313 earnings announcements are considered between the fiscal year 2010/11 and 2017/18. The observations are portioned into 225 earning-increased (good-news) sub-samples and 88 earning-decreased (bad-news) sub-samples. This paper finds that the Nepalese stock market is inefficient at a semi-strong level, but there is a strong linkage between quarterly earnings announcement and trading volume. Similarly, the study provides evidence of existence of information content hypothesis in the Nepalese stock market.

Does Gender and Family Income Impact Stock Trading of B-School Students? Findings from a Stock Simulation Exercise

2021 ◽  
pp. 097226292199259
Author(s):  
Nisha Prakash ◽  
Subburaj Alagarsamy
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Portfolio Management ◽  
Family Income ◽  
Primary Objective ◽  
Female Students ◽  
Stock Selection ◽  
School Students ◽  
Stock Trading ◽  
Simulation Exercise

Educators across the globe utilize online stock market simulation games to introduce students to trading in the stock market. The primary objective of the simulation exercise is to expose students to the practical application of financial theories on fundamental analysis, stock selection, building an optimal portfolio, monitoring the risk-return characteristics and continuously improving the portfolio based on changing realities. This article utilizes the trading data from a simulation exercise conducted by a leading B-school in India. The exercise was conducted as part of Security Analysis and Portfolio Management (SAPM) course offered by the B-school. The objective of the article is to understand the role of gender and family income in the trading patterns of students in the simulation exercise. The article covers 163 students who were part of the simulation exercise in 2019. The results indicate that male students trade more aggressively than female students, both in terms of number of trades and the number of companies traded. However, the female students reported higher stock trading performance, measured in stock returns. This is observed to be true at all the quartiles, with the largest magnitude of the difference in the mid-quartiles. The study also indicates that the students from wealthier families perform better than those from poorer backgrounds. However, family income is an insignificant differentiating factor. Further, regression analysis indicates that gender is a significant determinant of stock returns. Based on these findings, the authors argue that gender has a significant role in the stock trading performance of B-schoolers. The article contributes to the field of behavioural finance, especially on the literature of gender and performance in financial markets.

scholarly journals Economic Forces and Firm Stock Returns Volatility: Role of Firm Features

2019 ◽  
Vol 7 (3) ◽  
pp. 281-302
Author(s):  
Muhammad Saqib Bashir Butt ◽  
Hasniza Mohd Taib
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Market Volatility ◽  
Firm Level ◽  
Macroeconomic Factors ◽  
Policy Makers ◽  
Size Firm ◽  
Different Characteristics ◽  
The Given ◽  
Level Analysis

Stock market volatility is always been a major concern for investors, regulators, policy makers and academicians. Unfortunately, firm level volatility has not been given the due attention. The studies dealing with the firm level volatility are scarce. Moreover, a common assumption of homogenous nature of firms is used in the aggregate stock market analysis, sectoral level analysis and even in a firm level analysis. This homogenous assumption was objected by several researchers and suggested that firms are heterogeneous even in a narrowly defined sector. Furthermore, firms are different from each other because of possessing different characteristics. Based on that firm’s response to macroeconomic changes would not be the same. Hence, the hypothesis testing ignoring this fact could be spurious. This study proposes five categories in which firms can be classified, such as firm age, firm size, firm nature of business, firm trading nature and the sectoral location of the firm. This study proposes to examine the linkages between the macro economic factors and the firm level stock returns volatility considering the given firm features. It is expected from the empirical testing that the macroeconomic factors effect firm stock returns volatility belonging to different firm features differently, both in terms of magnitude and sign.

Non-Earnings Conference Calls: Content, Determinants, and Consequences

2021 ◽  
Author(s):  
Lin Wang
Keyword(s):  
Computational Linguistic ◽  
Stock Market ◽  
Stock Returns ◽  
Information Environment ◽  
Conference Calls ◽  
Quarterly Earnings ◽  
Earnings Releases ◽  
Abnormal Stock Returns ◽  
Market Consequences ◽  
Loss Firms

I use computational linguistic techniques to study the content, determinants, and stock market consequences of conference calls that are not held in conjunction with quarterly earnings releases (hereafter, non-earnings conference calls). I find that large firms, loss firms, firms with more volatile earnings and returns, and firms with complex operations and a greater number of analysts following hold more non-earnings conference calls. Firms with volatile earnings and greater operational complexity discuss more earnings, investment, and market-related topics in non-earnings conference calls. These results are consistent with the notion that firms facing greater informational problems hold more non-earnings conference calls. I also find that controlling for other disclosure types, non-earnings conference calls incrementally explain quarterly abnormal stock returns, suggesting that they indeed help improve firms' information environment.

Financial Constraints, Stock Returns and R&D in Indian Stock Market

2021 ◽  
pp. 097226292098839
Author(s):  
Pankaj Sinha ◽  
Priya Sawaliya
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Financial Constraints ◽  
Fixed Effect Model ◽  
Quantitative Information ◽  
Common Shocks ◽  
External Finance ◽  
Negative Effect ◽  
Security Returns ◽  
Indian Stock Market

When the accessibility of external finance prohibits a firm from taking the optimum decision related to investment, that firm is called financially constrained. By applying the methodology of Kaplan and Zingales (1997) and Lamont et al. (2001), the current study has created a construct to gauge the level of financial constraints (FC) of the companies which emanate from quantitative information. The study explores whether FC factor is present in the Indian stock market and explores whether the security returns of those firms that are financially constrained move in tandem. The study also attempts to establish the association between security returns and R&D of financially constrained firms. On a sample of 63 R&D reporting companies of S&P BSE 500, traded over the period March 2008 to February 2019, the study used the Fama–French methodology, fixed effect model and the ordered logistic regression. The study finds that firms that are highly constrained earn more returns than low constrained firms. Second, the security returns of firms that are financially constrained move in tandem because these firms are affected by common shocks. This suggests that the FC factor exists in the Indian stock market. Finally, when R&D interacts with the level of FC, then this interaction effect has a negative effect on returns.

Sign in / Sign up

Export Citation Format

Share Document