Microblogging Metrics and Stock Return Comovement
نویسندگان
چکیده
Identifying homogeneous groups of stocks, where these stocks have similar movement of returns is called stock return comovement analysis. Stock return comovement analysis is important to financial analysts, decision makers, and academic researchers, in many financial implications. This paper examines firms’ social media, in particular, microblogging metrics’ role on analyzing stock return comovement. The results show microblogging metrics can effectively identify homogenous stock groups.
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