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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.
