Pick Stocks of Firms that Tweet a Lot?

Are firms that engage the public via Twitter more expanding (via exposure) or shrinking (via adverse social media frenzy) their opportunity sets? In their January 2020 paper entitled “The Social Media Risk Premium”, Amin Hosseini, Gergana Jostova, Alexander Philipov and Robert Savickas investigate relationships between firm Twitter activity and stock return. Their data include firm Twitter presence, and level and nature of activity, as well as responses from followers. Using these Twitter data, accounting data and stock returns for all publicly held U.S. firms during 2007 through 2016 (33,445,318 tweets, generating 25,603,977 replies, 161,548,941 retweets and 265,738,508 likes), they find that: (more…)