Sentiment and stock prices: The case of aviation disasters

Kaplanski, Guy; Levy, Haim

doi:10.1016/j.jfineco.2009.10.002

Cited by 500 publications

(315 citation statements)

References 77 publications

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“…Hirshleifer and Shumway (2003) show that abnormal weather conditions are positively related with contemporaneous stock market returns. Kaplanski and Levy (2010) report that aviation disasters negatively influence people's sentiment, and negative stock market returns are experienced shortly after, even for companies not affected by the event. The positive relation between sentiment and stock returns has also been supported by a number of studies (e.g., Lemmon and Portniaguina, 2006) that use direct monthly sentiment proxies through surveys, such as the University of Michigan Consumer Sentiment Index.…”

Section: Introductionmentioning

confidence: 99%

Investor sentiment and bidder announcement abnormal returns

Danbolt

Siganos

Vagenas‐Nanos

2015

Journal of Corporate Finance

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We introduce the significance of a direct sentiment proxy as an explanatory variable of bidder announcement returns. We argue that sentiment subconsciously influences investor perception of potential merger synergies and risks, and therefore relates to bidder abnormal returns. We proxy daily sentiment based on Facebook status updates across seventeen international markets and show that there is a positive relation between sentiment and bidder announcement returns. In line with behavioral literature stating that sentiment more heavily influences uninformed traders, this relation is more pronounced in acquisitions with a low percentage of blockholder ownership, acquisitions of US public targets, and acquisitions of large targets relative to the size of the bidders. Our study goes beyond the conventional sentiment and stock market returns literature, uncovering a significant relation between sentiment and firm-specific abnormal returns to acquiring companies.

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Section: Introductionmentioning

confidence: 99%

Investor sentiment and bidder announcement abnormal returns

Danbolt

Siganos

Vagenas‐Nanos

2015

Journal of Corporate Finance

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“…These studies find that overconfidence leads to overestimates of stock value and aggressive trading, while negative sentiment affects asset pricing negatively (Odean 1998;Barber and Odean 2001 ;Brown et al 2005 ;Kaplanski et al 2010).…”

Section: Hypotheses Developmentmentioning

confidence: 99%

The Differential Impact of Investor Sentiment on the Value Relevance of Book Value Versus Earnings

Wang

2014

SSRN Journal

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“…For example, Kaplanski and Levy (2010) found a correlation between aviation disasters and market downturn. They theorized that catastrophic events were likely to broadly affect people's moods and that negative sentiment would result in an irrational investor reaction that would lower market indices temporarily until the investors recovered, which they found typically took two days.…”

Section: Influence Of Twitter Topics On Stock Returnsmentioning

confidence: 99%

The Dual Micro/Macro Informing Role of Social Network Sites: Can Twitter Macro Messages Help Predict Stock Prices?

2012

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This study proposes a framework for understanding the role of Social Network Sites (SNS) in informing clients at individual message (micro) and aggregate (macro) levels. To validate the micro/macro informer framework, we examine if an aggregate of Twitter messages can be used as a predictor of future stock prices of publicly traded companies. Our field study analyzes Twitter posts related to 18 Fortune500 companies using Latent Semantic Analysis to extract the semantic and conceptual content in the form of key themes. Using the factors comprising the themes, we fit a regression model that uses tweet volume and tweet topic strength to predict 8.3% of variability in stock prices beyond what is explained by the fluctuations of the stock market. Our results suggest that Twitter can be viewed as a macro informer for stock markets. This confirms our conjecture that SNS are both platforms for micro informing and macro informers. Our study should stimulate informing science researchers to examine other cases of macro informing and the role of data mining and text mining technologies in message aggregation for macro informing.

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Sentiment and stock prices: The case of aviation disasters

Cited by 500 publications

References 77 publications

Investor sentiment and bidder announcement abnormal returns

Investor sentiment and bidder announcement abnormal returns

The Differential Impact of Investor Sentiment on the Value Relevance of Book Value Versus Earnings

The Dual Micro/Macro Informing Role of Social Network Sites: Can Twitter Macro Messages Help Predict Stock Prices?

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