IDEAS home Printed from https://ideas.repec.org/a/taf/hbhfxx/v26y2025i1p20-45.html
   My bibliography  Save this article

A Longer-Term Evaluation of Information Releases by Influential Market Agents and the Semi-Strong Market Efficiency

Author

Listed:
  • Pankaj Agrrawal
  • Rajat Agarwal

Abstract

This paper is an evaluation of long-term cumulative abnormal returns (CAR's) based on Twitter broadcasts by highly influential market agents. We look at the information content of Elon Musk, CEO of SpaceX, Tesla and Twitter Inc. and the former US President Donald Trump. The principal objectives of this research are twofold: 1.) To assess whether markets are semi-strong form efficient and consequentially whether or not returns can be derived from strategies based on such sporadic tweet releases (abstracting from ‘news’). For this purpose, event studies are conducted on multiple companies which were targeted by Musk and Trump tweets. A control group of all Dow Jones companies with earnings releases on Twitter is utilized. We find there appears to be a “pre-post-Twitter-drift” when the release is by exceedingly influential market personalities. The cumulative abnormal returns remain significant over long durations. This indicates that markets are not entirely semi-strong form efficient regarding social media releases and that trading on such tweets may be profitable (even after factoring in varying market phases). 2.) The paper introduces a new theme: long term CAR's of market information events. The paper also notes whether the tweet was during regular market hours or after-market hours.

Suggested Citation

  • Pankaj Agrrawal & Rajat Agarwal, 2025. "A Longer-Term Evaluation of Information Releases by Influential Market Agents and the Semi-Strong Market Efficiency," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 26(1), pages 20-45, January.
    • Handle: RePEc:taf:hbhfxx:v:26:y:2025:i:1:p:20-45
    DOI: 10.1080/15427560.2023.2227303
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15427560.2023.2227303
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15427560.2023.2227303?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:hbhfxx:v:26:y:2025:i:1:p:20-45. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/hbhf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.