We would like to congratulate UTS Finance PhD graduate Dr Baoqing Gan and UTS Finance academics Dr Vitali Alexeev and Dr Danny Yeung who have been awarded the best paper in Finance at the 2021 Accounting and Finance Association of Australia and New Zealand conference for their paper, “Investor Sentiment Under the Microscope”. The paper investigates the role sentiment plays in the financial market by contrasting social media with traditional news
Using high-frequency investor sentiment metrics based on multiple news and social media outlets, this study investigates the intraday dynamics between sentiment and stock returns. Individual stocks and sentiment data for all Dow Jones Industry Average (DJIA) constituents are considered for the period from 2011 to 2017. This paper finds that large sentiment tensions accumulated overnight have strong predictability on the next day opening returns, but it is asymmetric under negative and positive sentiment. Robustness checks for the first minute of trading, return autocorrelation, and returns in excess of those on the broad market index are conducted. This paper finds that social media signals generate daily excess returns of 15 basis points, which is much higher than that based on news media signals. Overall, this paper contributes to the literature on overnight sentiment and intraday return patterns, which brings about new insights to the day and night return puzzle.