Social media has reshaped business models, economies, politics, and culture around the world. In this paper, we identified social media stocks from various sectors by using a strict, academic definition and then studied their performance and return characteristics. Multivariate regression results demonstrate that being recognized as a social media firm yields extra return. The performance of social media stocks is not associated with macro-level sentiment, but rather with firm-level attention paid by potential investors. Causality tests indicate that the default risk premium and volatility have incremental power in explaining the performance of social media stocks.
International Review of Economics & Finance
Chiou, W. P.,
Nofsinger, J. R.
Paying attention to social media stocks.
International Review of Economics & Finance.
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© 2018 Elsevier Inc. All rights reserved. Article deposited here in compliance with publisher policy. Publisher's version of record: https://doi.org/10.1016/j.iref.2018.08.009