Graduation Year
2020
Date of Submission
5-2020
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Yaron Raviv
Reader 2
Michael Izbicki
Terms of Use & License Information
Rights Information
2020 Alexander L. Novitsky
Abstract
The combination of the advent of the internet in 1983 with the Securities and Exchange Commission’s ruling allowing firms the use of social media for public disclosures merged to create a wealth of user data that traders could quickly capitalize on to improve their own predictive stock return models. This thesis analyzes some of the impact that this new data may have on stock return models by comparing a model that uses the Index Price and Yesterday’s Stock Return to one that includes those two factors as well as average tweet Polarity and Subjectivity. This analysis is done with ten different large, public firms on the NASDAQ and NYSE. Our results suggest that models that implement the Twitter data perform slightly better than their classical counterparts.
Recommended Citation
Novitsky, Alexander, "A Little Birdy Told Me: Analysis of the Impact of Public Tweet Sentiment on Stock Prices" (2020). CMC Senior Theses. 2459.
https://scholarship.claremont.edu/cmc_theses/2459
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Business Analytics Commons, Portfolio and Security Analysis Commons, Technology and Innovation Commons
