This study examines the link between information spread by social media bots and stock trading. Based on a large sample of tweets mentioning 55 companies in the FTSE 100 composites, we find significant relations between bot tweets and stock returns, volatility, and trading volume at both daily and intraday levels. These results are also confirmed by an event study of stock response following abnormal increases in the volume of tweets. The findings are robust to various specifications, including controlling for traditional news channel, alternative measures of volatility, information flows in pretrading hours, and different measures of sentiment. K E Y W O R D S computational linguistics, investor sentiment, noise traders, social media bots, text classification

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We propose a model in which sovereign credit news from multiple rating agencies interacts with market heterogeneity. The model illustrates that the first messenger discloses new information while additional messengers play an important role of coordinating heterogeneous beliefs. Empirical investigations based on sovereign credit ratings, foreign exchange and equity markets confirm that rating news coordinates investors' beliefs. Sovereign credit rating news from both types of messenger induces a significant impact on exchange rates and stock indices. Volatility measures increase in response to news from the first messenger while ex-post volatility reduces following news from an additional messenger.

We investigate whether there are any identifiable differences in market perceptions of rating news released by Moody's, S&P and Fitch following the establishment of a new regulatory regime in July 2011, when the European Securities and Markets Authority assumed responsibility for rating agencies' regulation in Europe. We focus the analysis on the impact of bank rating actions on stock returns and volatility during 2008–2013. Among the intended effects of the new regulatory regime are higher rating quality and enhanced market stability, yet we find very mixed evidence. Many differentials in market responses across CRAs are identified, which mean that a consistent effect of the new regulatory regime is not discernible.