The convergence and divergence of investors' opinions around earnings news: Evidence from a social network

Robert Giannini, Paul Irvine and Tao Shu

Journal of Financial Markets, 2019, vol. 42, issue C, 94-120

Abstract: We collect a unique dataset of Twitter posts to examine the change in investor disagreement around earnings announcements. We find that investors' opinions can either converge (reduced disagreement) or diverge (increased disagreement) around earnings announcements. The convergence and divergence of opinion has significant effects on trading volume and return. Consistent with theoretical predictions, both the convergence and divergence of opinion are associated with a greater volume reaction to earnings news. While the convergence of opinion is associated with lower earnings announcement returns, the divergence of opinion is associated with higher earnings announcement returns.

Keywords: Investor disagreement; Social media; Divergence of opinion; Convergence of opinion; Trading volume; Stock returns; Earnings announcement (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:42:y:2019:i:c:p:94-120

DOI: 10.1016/j.finmar.2018.12.003

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