Prior studies have demonstrated that company-generated tweets as a device for the dissemination of corporate announcements help reduce information asymmetry. This paper demonstrates that user-generated tweets around corporate announcements have information content in addition to the information content of the announcement itself. Using a sample of S&P 1500 firms, we test the effects of abnormal levels of user-generated tweets and abnormal sentiment in the tweets over the three days surrounding 8-K filings of unanticipated events on market returns and liquidity of stocks. Results show that abnormal levels of user-generated tweets are positively associated with both the absolute cumulative abnormal returns and cumulative abnormal trading volume. We also find an indication of a cautionary stance by the market when sentiment is negative around the announcements. Our results have economic significance from both the stock valuation and the stock liquidity perspectives.
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Research Article|
April 01 2021
Is User-Generated Twittersphere Activity Associated with Stock Market Reactions to 8-K Filings?
ROGER DEBRECENY
;
ROGER DEBRECENY
School of Accountancy, Shidler College of Business, University of Hawai’i at Mānoa, 2404 Maile Way, Honolulu, HI 96822
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Asheq Rahman
;
Asheq Rahman
Auckland University of Technology
Professor
Accounting
42 Wakefield Street
NEW ZEALAND
Auckland Central
Auckland
0632
+64 211407003
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TAWEI WANG
TAWEI WANG
School of Accountancy and MIS, Kellstadt Graduate School of Business, DePaul University, 1 E Jackson Blvd Suite 6028, Chicago, IL 60604
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Journal of Information Systems (2021)
Article history
Received:
July 02 2020
Revision Received:
December 16 2020
Revision Received:
February 02 2021
Revision Received:
March 15 2021
Accepted:
March 30 2021
Citation
ROGER DEBRECENY, Asheq Rahman, TAWEI WANG; Is User-Generated Twittersphere Activity Associated with Stock Market Reactions to 8-K Filings?. Journal of Information Systems 2021; doi: https://doi.org/10.2308/ISYS-2020-034
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