A social-media-based approach to predicting stock comovement

作者：

Highlights：

• Firms with Twitter accounts are more homogeneous.

• Firm-specific microblogging metrics can predict stock comovement.

• A novel stock comovement prediction model is proposed.

• Microblogging metrics have better prediction effects than industry category.

摘要

•Firms with Twitter accounts are more homogeneous.•Firm-specific microblogging metrics can predict stock comovement.•A novel stock comovement prediction model is proposed.•Microblogging metrics have better prediction effects than industry category.

论文关键词：Social media,Comovement,Microblogging,Industry classification

论文评审过程：Available online 6 January 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2014.12.049