Researcher ORCID Identifier

Graduation Year


Date of Submission


Document Type

Open Access Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Eric Hughson

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Terms of Use for work posted in Scholarship@Claremont.

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© 2020 David J Halle

OCLC Record Number



Using stock market return data from 2007 to 2019 from The Center for Research in Security Prices, I inquire into the impact that Twitter has on the overreactions of individual stock returns by breaking down returns into pre and post-Twitter periods. I examine negative serial correlation, demonstrating return reversals, between a lag crossed Twitter dummy variable and initial returns. With stock reversals serving as an indicator of initial overreaction and assuming stationarity of overreactions over time, I find that the presence of Twitter results in significantly more overreactions for highly followed companies when using monthly returns. However, when assessing Twitter’s influence using weekly returns, the results suggest the possibility of return momentum. Similarly, Twitter’s influence on overreaction is a highlighted when evaluating only negatively or positively large returns, producing greater significance despite a decrease sample size. While these promising results are not economically significant and thus do not reveal a viable contrarian investment strategy, my paper lays the foundation for a predictive model based of Twitter’s influence on company returns.