Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Twitter Sentiment around the Earnings Announcement Events   We investigate the relationship between social media, Twitter in particular,
and stock market. We provide an in-depth analysis of the Twitter volume and
sentiment about the 30 companies in the Dow Jones Industrial Average index,
over a period of three years. We focus on Earnings Announcements and show that
there is a considerable difference with respect to when the announcements are
made: before the market opens or after the market closes. The two different
timings of the Earnings Announcements were already investigated in the
financial literature, but not yet in the social media. We analyze the
differences in terms of the Twitter volumes, cumulative abnormal returns, trade
returns, and earnings surprises.
  We report mixed results. On the one hand, we show that the Twitter sentiment
(the collective opinion of the users) on the day of the announcement very well
reflects the stock moves on the same day. We demonstrate this by applying the
event study methodology, where the polarity of the Earnings Announcements is
computed from the Twitter sentiment. Cumulative abnormal returns are high
(2--4\%) and statistically significant. On the other hand, we find only weak
predictive power of the Twitter sentiment one day in advance. It turns out that
it is important how to account for the announcements made after the market
closes. These after-hours announcements draw high Twitter activity immediately,
but volume and price changes in trading are observed only on the next day. On
the day before the announcements, the Twitter volume is low, and the sentiment
has very weak predictive power. A useful lesson learned is the importance of
the proper alignment between the announcements, trading and Twitter data.

15
The categories of this paper are: nucl-ex
37
The categories of this paper are: supr-con
10
The categories of this paper are: q-bio
5
The categories of this paper are: gr-qc
3
The categories of this paper are: physics
27
The categories of this paper are: comp-gas
36
The categories of this paper are: cmp-lg
2
The categories of this paper are: math
19
The categories of this paper are: eess
8
The categories of this paper are: hep-ex
20
The categories of this paper are: acc-phys
35
The categories of this paper are: mtrl-th
33
The categories of this paper are: plasm-ph
25
The categories of this paper are: patt-sol
6
The categories of this paper are: astro-ph
0
The categories of this paper are: hep-ph