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
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