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dc.contributor.advisorWang, Shan
dc.contributor.advisorYang, Fan
dc.creatorShamshiri, Amir
dc.date.accessioned2022-08-04T17:37:56Z
dc.date.available2022-08-04T17:37:56Z
dc.date.copyright2022
dc.date.created2022-07
dc.date.issued2022-08-04
dc.date.submittedJuly 2022
dc.identifier.urihttps://hdl.handle.net/10388/14079
dc.description.abstractTechnology advancements increase people’s engagements in social media and make a great framework for analyzing investors’ behavior. Social media sentiment is the overall mood of investors shared on social media platforms and can affect readers’ investment decisions and the stock return. During the literature review, we found inconsistent empirical results for the relationship between social media sentiment and stock return. In addition, this relationship’s moderators must be theoretically and empirically analyzed. Using a panel regression over investors’ sentiment extracted from the two biggest financial and non-financial social media platforms (StockTwits and Twitter), we have checked if social media sentiment can predict S&P500 stock return and if the sentiment effect varies among different firm characteristics and market conditions. The findings suggest that positive (negative) sentiment has a significantly positive (negative) effect on stock return, while negative sentiment has a stronger effect. In addition, the sentiment effect is stronger among the firms that are smaller, high volatile, and has higher attention on social media platforms, specifically during bearish markets. Our findings indicate that social media sentiment is a risk factor separated from other previously studied risk factors.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.subjectSocial Media Sentiment, Stock Return, Firm Characteristics, Market Condition
dc.titleSocial Media Sentiment and Stock Return
dc.typeThesis
dc.date.updated2022-08-04T17:37:56Z
thesis.degree.departmentEdwards School of Business
thesis.degree.disciplineFinance
thesis.degree.grantorUniversity of Saskatchewan
thesis.degree.levelMasters
thesis.degree.nameMaster of Science (M.Sc.)
dc.type.materialtext
dc.contributor.committeeMemberWilson, Craig
dc.contributor.committeeMemberElkins, Hamilton
dc.contributor.committeeMemberRacine, Marie
dc.creator.orcid0000-0002-6947-4189


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