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Twitter Sentiment and IPO Performance: A Cross-Sectional Examination

2016; Euromoney Institutional Investor; Volume: 42; Issue: 4 Linguagem: Inglês

10.3905/jpm.2016.42.4.129

2168-8656

Jim Kyung-Soo Liew, Garrett Zhengyuan Wang,

Corporate Finance and Governance

In this article, the authors examine the cross-sectional relationships between 325 IPOs’ first-day returns and their corresponding tweet sentiment, as defined by iSENTIUM LLC’s sentiment engine over the period from 2013 through 2014. They find that tweet sentiment is positively correlated to contemporaneous IPO returns. Interestingly enough, the authors document a positive relationship between prior days’ (1 day, 2 days, and 3 days) tweet sentiment and next-day IPO returns from offering price to opening price, along with a negative relationship between prior days’ (1 day, 2 days and 3 days) tweet sentiment and next-day IPO returns from opening price to closing price. Nevertheless, their examination of the relationship between intraday tweet sentiment and intraday IPO returns yields insignificant results. They find that tweet sentiment matters for IPO first-day performances, but the nature of this relationship appears very complex. TOPICS: In markets, quantitative methods