Twitter Sentiment around the Earnings Announcement Events
Peter Gabrovsek, Darko Aleksovski, Igor Mozetic, Miha Grcar

TL;DR
This paper analyzes Twitter sentiment around earnings announcements for Dow Jones companies, showing that Twitter sentiment reflects stock movements on the announcement day but has limited predictive power beforehand, emphasizing data alignment.
Contribution
It provides a novel analysis of social media's role in financial events, focusing on timing differences of earnings announcements and their impact on Twitter sentiment and stock returns.
Findings
Twitter sentiment correlates with same-day stock movements.
High cumulative abnormal returns (2-4%) are linked to Twitter sentiment.
Weak predictive power of Twitter sentiment before announcements.
Abstract
We investigate the relationship between social media, Twitter in particular, and stock market. We provide an in-depth analysis of the Twitter volume and sentiment about the 30 companies in the Dow Jones Industrial Average index, over a period of three years. We focus on Earnings Announcements and show that there is a considerable difference with respect to when the announcements are made: before the market opens or after the market closes. The two different timings of the Earnings Announcements were already investigated in the financial literature, but not yet in the social media. We analyze the differences in terms of the Twitter volumes, cumulative abnormal returns, trade returns, and earnings surprises. We report mixed results. On the one hand, we show that the Twitter sentiment (the collective opinion of the users) on the day of the announcement very well reflects the stock moves…
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