The Accounting Review, Vol. 93, No. 3, ,November 2018

Twitter能够帮助预测公司的盈利和股票收益吗？

作者：Eli Bartov (New York University, USA),

Lucile Faurel (Arizona State University, USA),

Partha S. Mohanram (University of Toronto, Canada)

摘要：先前的研究检查了公司如何利用Twitter与投资者沟通，以及Twitter活动是否能够预测整个股市的问题。我们研究的是，在公司的盈利报告发布之前，个人在推特上发表的意见是否能够预测盈利和公布的收益。从2009年到2012年的大样本中，我们发现来自个人推文的意见成功预测了一家公司即将发布的季度收益和公告。当推文表达原始信息时，以及当推文传播现有信息时这些结果成立，并且当推文提供与公司基本面和股票交易直接相关的信息时结果是更强的。重要的是，甚至在控制了来自传统媒体来源的信息或意见之后我们的结果仍然成立，同时，对于处于较弱信息环境中的公司来说结论更强。我们的研究强调了在评估股票的未来前景和价值时，考虑个人推文的总体意见的重要性。

Can Twitter Help Predict Firm-Level Earnings and Stock Returns?

Eli Bartov (New York University, USA), Lucile Faurel (Arizona State University, USA), Partha S. Mohanram (University of Toronto, Canada)

ABSTRACT

Prior research has examined how companies exploit Twitter in communicating with investors, and whether Twitter activity predicts the stock market as a whole. We test whether opinions of individuals tweeted just prior to a firm's earnings announcement predict its earnings and announcement returns. Using a broad sample from 2009 to 2012, we find that the aggregate opinion from individual tweets successfully predicts a firm's forthcoming quarterly earnings and announcement returns. These results hold for tweets that convey original information, as well as tweets that disseminate existing information, and are stronger for tweets providing information directly related to firm fundamentals and stock trading. Importantly, our results hold even after controlling for concurrent information or opinion from traditional media sources, and are stronger for firms in weaker information environments. Our findings highlight the importance of considering the aggregate opinion from individual tweets when assessing a stock's future prospects and value.

原文链接：http://www.aaajournals.org/doi/abs/10.2308/accr-51865

翻译：阙江静