CEBA talks 2020-2021
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Intraday sentiment analysis

Authors: Vitali Alexeev and Baoqing Gan

Abstract: Market-wide investor sentiment is known to exert influence on stock prices. Fewer studies have explored the impact of firm-specific investor sentiment on stock prices. Using the most granular minute-to-minute intraday sentiment measures available, we examine how the investors' mood in news and social media affects equity valuation. Our analysis reveals that the sentiment generated by increasingly popular social media exerts a greater impact than the sentiment found in traditional news media. Our results show that the impact of sentiment is asymmetric, with negative sentiment having a preeminent impact. We find that the influence of sentiment is short lived. These findings are consistent across a number of different models and specifications, providing further evidence against non-behavioural theories in this fast-paced digital era.

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