8-K Filings, Twitter Activities and Stock Market Reactions

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aut.relation.conferenceAmerican Accounting Association Annual Meetingen_NZ
aut.researcherRahman, Asheq
dc.contributor.authorRahman, Aen_NZ
dc.contributor.authorDebreceny, Ren_NZ
dc.date.accessioned2017-10-01T23:50:53Z
dc.date.available2017-10-01T23:50:53Z
dc.date.copyright2015-08-04en_NZ
dc.date.issued2015-08-04en_NZ
dc.description.abstractTwitter has become one of the major channels for information dissemination and communication, which includes companies’ market relevant information. This study investigates how Twitter activities are related to 8-K filings and the corresponding stock price and trading volume reactions. Using a sample of S&P 1500 companies, all 8-K filings are gathered for the calendar year of 2012 and calculate the following three unique Twitter metrics based on the data provided by Topsy, Inc.: abnormal tweeting activities, abnormal sentiment, and network centrality weighted by the influence level of tweeters. The findings show that on average, there are about 32% more tweeting activities around 8-K dates, compared to the benchmark period. In addition, all three Twitter metrics relate positively to both cumulative abnormal returns and cumulative abnormal trading volume in the 3-day window around 8-K filings. Abnormal sentiment and centrality weighted by the influence level of tweeters moderate positively and moderate negatively the association between abnormal tweeting activities and stock market reactions to 8-Ks. These metrics also moderate the relation between different types of 8-Ks and the corresponding stock market reactions. Based on our findings, we conclude that the level and nature of market attention a corporate announcement receives determines the level of price and volume movements of stocks in the capital markets. The study contributes to the literature by suggesting the important role played by social media, Twitter in particular, in the information dissemination process of Form 8-Ks.
dc.identifier.citationAmerican Accounting Association (AAA) Annual Meeting, 7-12 Aug 2015, Chicago, Illinois.
dc.identifier.urihttps://hdl.handle.net/10292/10843
dc.publisherAmerican Accounting Association (AAA)
dc.relation.urihttp://aaahq.org/Meetings/2015/Annual-Meeting/Program
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in (see Citation). The original publication is available at (see Publisher's Version).
dc.rights.accessrightsOpenAccessen_NZ
dc.subject8-K filings; Social media; Twitter; Abnormal returns; Abnormal trading volume
dc.title8-K Filings, Twitter Activities and Stock Market Reactionsen_NZ
dc.typeConference Contribution
pubs.elements-id312989
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Faculty of Business, Economics and Law
pubs.organisational-data/AUT/Faculty of Business, Economics and Law/Accounting
pubs.organisational-data/AUT/PBRF
pubs.organisational-data/AUT/PBRF Reviewers
pubs.organisational-data/AUT/PBRF Reviewers/PBRF Reviewers - Business Economics and Law
pubs.organisational-data/AUT/PBRF Reviewers/PBRF Reviewers - Business Economics and Law/Accounting Department - PBRF Reviewers
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Accounting Department PBRF 2018
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Faculty Review Team PBRF 2018
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