Don't miss out on an opportunity to hear our own Jocelyn Lewis moderate a panel on key takeaways from the down mark… https://t.co/VSxZ8Kvt2i
Social media indicators in the UK
Research Signals - February 2019
In March 2014, we introduced a set of social media indicators for US markets, in partnership with Social Market Analytics, Inc., that classify the text content in daily Twitter posts to construct a family of social media signals. We now expand our coverage to the UK market using a similar factor structure.
- For names at the extreme tails (2 standard deviations) of the factor distribution, we report notable S-Score™ average daily return spreads of 0.097% since August 2015, with robustness out to longer 10- and 20-day holding periods
- When focusing on frequently tweeted names, average 20-day return spreads improve to 0.383% from 0.298% for the stand-alone strategy, while, for long-only strategies, our empirical results again demonstrate positive performance for names at the 2-standard-deviation tail, with average excess returns of 0.049% on an open-to-close basis, extending to 0.389% out to 20 days
- For Relative Standard Deviation of Indicative Tweet Volume, a Research Signals defined measure of the tweet volume volatility of a stock, we find average daily return spreads of 0.224%, which reached 0.342% at the 20-day horizon
IHS Markit provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.
Follow Financial Services
- What will CLO 3.0 look like
- IBOR transition update: €STR has an August holiday?
- Daily Global Market Summary - 21 September 2020
- Daily Global Market Summary - 18 September 2020
- Acceleration of ESG Through a Crisis
- Daily Global Market Summary - 17 September 2020
- Investor Relations is a Competitive Advantage
- Daily Global Market Summary - 16 September 2020
Join IHS Markit as we participate in Climate Week NYC with our 2nd webinar: ESG Investing: Companies, Investors & S… https://t.co/BgMWpzbmNW