mlsanityData to 7 Oct 2026

Investor Emotions and Earnings Announcements

arXiv 2006.13934 ↗First posted 24 Jun 2020q-fin.PM cs.LG econ.GNcited by 4

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Abstract (arXiv)

Armed with a decade of social media data, I explore the impact of investor emotions on earnings announcements. In particular, I test whether the emotional content of firm-specific messages posted on social media just prior to a firm's earnings announcement predicts its earnings and announcement returns. I find that investors are typically excited about firms that end up exceeding expectations, yet their enthusiasm results in lower announcement returns. Specifically, a standard deviation increase in excitement is associated with an 7.8 basis points lower announcement return, which translates into an approximately -5.8% annualized loss. My findings confirm that emotions and market dynamics are closely related and highlight the importance of considering investor emotions when assessing a firm's short-term value.

Key facts. Cited by 4 papers in the map (data through 7 Oct 2026). First posted on arXiv 24 Jun 2020.

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Citing papers per year: 2021: 1; 2022: 1; 2023: 0; 2024: 0; 2025: 1; 2026: 1.

4 papers.