Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/273555 
Year of Publication: 
2023
Publisher: 
ZBW – Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
This paper is an evaluation of long-term cumulative returns (CAR's) based on Twitter broadcasts by highly influential market agents. We look at the information content of Elon Musk, CEO of SpaceX, Tesla and Twitter Inc. and the former US President Donald Trump. The principal objectives of this research are twofold: 1.) To assess whether markets are semi-strong form efficient and consequentially whether or not returns can be derived from strategies based on such sporadic tweet releases (abstracting from ‘news’). For this purpose, event studies are conducted on multiple companies which were targeted by Musk and Trump tweets. A control group of all Dow Jones companies with earnings releases on Twitter is utilized. We find there appears to be a "pre-post-Twitter-drift" when the release is by exceedingly influential market personalities. The cumulative abnormal returns remain significant over long durations. This indicates that markets are not entirely semi-strong form efficient regarding social media releases and that trading on such tweets may be profitable (even after factoring in varying market phases). 2.) The paper introduces a new theme: long term CAR's of market information events. The paper also notes whether the tweet was during regular market hours or after-market hours.
Subjects: 
market efficiency
investor sentiment
event study
Musk
Trump
Twitter
social media
extended trading hours
after-hours
JEL: 
G41
G17
C10
Document Type: 
Preprint

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