Market impact of government communication: The case of presidential tweets
Datum
2021-10-06
Autor
Abdi, Farshid
Kormanyos, Emily
Pelizzon, Loriana
Getmansky, Mila
Simon, Zorka
SAFE No.
314_rev
Frühere Version
Metadata
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Zusammenfassung
"We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms to classify topic and textual sentiment of 1,400 economy-related tweets to investigate whether they contain relevant information for financial markets. Analyzing high-frequency data, we find that after controlling for past market movements, most tweets are reactive and predictable, rather than novel and informative. The exceptions are tweet topics where the president has direct policy authority and his negative sentiment could adversely affect economic outcomes."
Forschungsbereich
Financial Markets
Schlagworte
government communication, social media, twitter, machine learning, etfs
JEL-Klassifizierung
G10, G14, C58
Forschungsdaten
Thema
Fiscal Stability
Trading and Pricing
Saving and Borrowing
Trading and Pricing
Saving and Borrowing
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]