Date of Graduation
8-2019
Document Type
Dissertation
Degree Name
Doctor of Philosophy in Business Administration (PhD)
Degree Level
Graduate
Department
Accounting
Advisor/Mentor
Vernon Richardson
Committee Member
Michael Crawley
Second Committee Member
Asher Curtis
Third Committee Member
Gary Peters
Keywords
Earnings, Herding, Social Media, Twitter
Abstract
I use data from StockTwits and Twitter to provide evidence that investor attention on social media in the period before earnings is related to short-term overvaluation, consistent with bullish investors herding around common information. In the 2 to 60 days after earnings, returns for companies in the highest quintile of pre-earnings announcement investor attention are 4.2 percent lower than those of companies in the lowest quintile. I find evidence that the negative post-earnings drift result found in this study is related to investors waiting until after earnings are announced to enact costly arbitrage strategies. I further examine intra- and inter-network herding and find evidence that social media influences investors beyond the population of active users. This study contributes to prior literature on herding, social media, and speculation and arbitrage.
Citation
Booker, A. B. (2019). Collaborative Speculation and Overvaluation: Evidence from Social Media. Graduate Theses and Dissertations Retrieved from https://scholarworks.uark.edu/etd/3356
Included in
Accounting Commons, Business Analytics Commons, Corporate Finance Commons, Finance and Financial Management Commons, Social Media Commons