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A Longer-Term evaluation of Information releases by Influential market Agents and the Semi-strong market Efficiency

Author

Listed:
  • Agrrawal, Pankaj
  • Agarwal, Rajat

Abstract

This paper is an evaluation of long-term cumulative 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

  • Agrrawal, Pankaj & Agarwal, Rajat, 2023. "A Longer-Term evaluation of Information releases by Influential market Agents and the Semi-strong market Efficiency," EconStor Preprints 273555, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esprep:273555
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    market efficiency; investor sentiment; event study; Musk; Trump; Twitter; social media; extended trading hours; after-hours;
    All these keywords.

    JEL classification:

    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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