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Paying attention to social media stocks

Authors :
Heather S. Knewtson
Wan-Jiun Paul Chiou
John R. Nofsinger
Source :
International Review of Economics & Finance. 59:106-119
Publication Year :
2019
Publisher :
Elsevier BV, 2019.

Abstract

Social media has reshaped business models, economies, politics, and culture around the world. In this paper, we identified social media stocks from various sectors by using a strict, academic definition and then studied their performance and return characteristics. Multivariate regression results demonstrate that being recognized as a social media firm yields extra return. The performance of social media stocks is not associated with macro-level sentiment, but rather with firm-level attention paid by potential investors. Causality tests indicate that the default risk premium and volatility have incremental power in explaining the performance of social media stocks.

Details

ISSN :
10590560
Volume :
59
Database :
OpenAIRE
Journal :
International Review of Economics & Finance
Accession number :
edsair.doi...........04e5f86a44bad27896371741f8d1b7ed
Full Text :
https://doi.org/10.1016/j.iref.2018.08.009