Engineering

Stock (firearms)

Biology

Chromatography

Stock market

Accounting

Economics

Market liquidity

Business

Paleontology

Mechanical engineering

Monetary economics

Valuation (finance)

Horse

Financial economics

Information asymmetry

Chemistry

Sample (material)

Finance

Journal of Information Systems

ABSTRACT Prior studies have demonstrated that company-generated tweets as a device for the dissemination of corporate announcements help reduce information asymmetry. This paper demonstrates that user-generated tweets around corporate announcements have information content in addition to the information content of the announcement itself. Using a sample of S&amp;P 1500 firms, we test the effects of abnormal levels of user-generated tweets and abnormal sentiment in the tweets over the three days surrounding 8-K filings of unanticipated events on market returns and liquidity of stocks. Results show that abnormal levels of user-generated tweets are positively associated with both the absolute cumulative abnormal returns and cumulative abnormal trading volume. We also find an indication of a cautionary stance by the market when sentiment is negative around the announcements. Our results have economic significance from both the stock valuation and the stock liquidity perspectives. JEL Classifications: M41.

Is User-Generated Twittersphere Activity Associated with Stock Market Reactions to 8-K Filings?