We examine social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that, even after controlling for firm disclosures and news, attention is highly correlated across platforms, but sentiment is not: its first principal component explains little more variation than purely idiosyncratic sentiment. Using market events, we attribute differences across platforms to differences in users (e.g., professionals versus novices) and differences in platform design (e.g., character limits in posts). We also find that sentiment and attention contain different return-relevant information. Sentiment predicts positive next-day returns, but attention predicts negative next-day returns. These results highlight the importance of considering both social media sentiment and attention, and of distinguishing between different investor social media platforms.

中文翻译：

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 社会信号


我们研究了来自三个主要平台的社交媒体关注度和情绪：Twitter、StockTwits 和 Seeking Alpha。我们发现，即使在控制了公司披露和新闻之后，注意力在各个平台之间也高度相关，但情绪却不然：它的第一个主要成分解释的变化并不比纯粹的特殊情绪多。利用市场事件，我们将跨平台的差异归因于用户的差异（例如，专业人士与新手）和平台设计的差异（例如帖子中的字符限制）。我们还发现情绪和注意力包含不同的回报相关信息。情绪预测第二天的正回报，但注意力预测第二天的负回报。这些结果凸显了考虑社交媒体情绪和注意力以及区分不同投资者社交媒体平台的重要性。