公司债券
社会化媒体
债券
业务
债券市场
中介的
信用违约掉期
库存(枪支)
股票市场
信用风险
金融经济学
经济
会计
精算学
金融体系
财务
背景(考古学)
计算机科学
万维网
机械工程
古生物学
工程类
生物
作者
Eli Bartov,Lucile Faurel,Partha S. Mohanram
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:2023-09-01
卷期号:69 (9): 5638-5667
被引量:4
标识
DOI:10.1287/mnsc.2022.4589
摘要
Prior studies document the role social media information plays in the stock market and the important dissimilarities between the bond and stock markets. Bridging these two types of literature, we examine the role of social media information in the corporate bond market. Analyzing a broad sample of messages by Twitter individual users, posted just prior to earnings announcements, containing bond, credit risk, and fundamental information, we find that aggregate Twitter opinion (OPI) predicts upcoming announcement bond returns and changes in credit default swap (CDS) spreads, and is associated with future changes in bond yield spreads and credit ratings, thereby providing economically important information to the bond market. This interpretation is bolstered by results from a variety of cross-sectional analyses. Finally, we document an association between OPI and future changes in default risk, which casts light on the nature of the Twitter information underlying our findings. Overall, our findings demonstrate that Twitter appears to disseminate potentially economically important information to even the presumably sophisticated bond and CDS investors, as well as information intermediaries. This paper was accepted by Suraj Srinivasan, accounting. Funding: P. Mohanram acknowledges financial support from the Social Sciences and Humanities Research Council (SSHRC) of Canada. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2022.4589 .
科研通智能强力驱动
Strongly Powered by AbleSci AI