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Academic Articles About Media, Social Media and Financial Markets

Media (General)

• W. Antweiler and M. Frank. Is all that talk just noise ? the information content of internet stock message boards. The Journal of Finance, LIX (3):1259--1294, June 2004.
• S. Aral, P. Ipeirotis, S. Taylor. Cramer’s Rule: How Information Content Moves Markets. Extended Abstract of Research in Progress submitted to WISE 2009.
• L. Fang and J. Peress. Media Coverage and the Cross-Section of Stock Returns. The Journal of Finance, Vol. 64, No. 5, pp. 2023-2052, 2009; AFA 2009 San Francisco Meetings Paper. Available at SSRN: http://ssrn.com/abstract=971202 or http://dx.doi.org/10.2139/ssrn.971202
• B. Barber and T. Odean. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, Oxford University Press on behalf of the Society for Financial Studies, 2007. Available at http://faculty.haas.berkeley.edu/odean/Papers%20current%20versions/AllThatGlitters_RFS_2008.pdf
• W. Chan. Stock price reaction to news and no-news: drift and reversal after headlines, Journal of Financial Economics, 223-260, 2003.
• M. Gentzkowv and J. Shapiro. Media Bias and Reputation, Journal of Political Economy, 114 (2), 280-316, April 2006. Available at http://www.nber.org/papers/w11664.pdf
• P. C. Tetlock. Giving content to investor sentiment: The role of media in the stock market. Journal of Finance, 62 (3):1139--1168, 2007.
• S. Das and M. Chen. Yahoo! for Amazon: Sentiment extraction from small talk on the web, Management Science, Vol. 53, No. 9, pp. 1375–1388, September 2007
• E. Gilbert and K. Karahalios. Widespread worry and the stock market. In International AAAI Conference on Weblogs and Social Media, 2010.
• J. Engelberand, C. Sasseville, J. Williams. Market Madness? The Case of Mad Money. Electronic copy available at: http://ssrn.com/abstract=870498, October 2010.
• P. C. Tetlock, M. Saar-Tsechansky, and S. Macskassy. More than words: Quantifying language to measure firms' fundamentals. Journal of Finance, 63:1437--1467, 2008.
• G. Mishne and N. Glance. Predicting movie sales from blogger sentiment. In AAAI 2006 Spring Symposium on Computational Approaches to Analysing Weblogs, 2006.

Twitter

• B. O’Connor, R. Balasubramanyan, B. Routledge, N. Smith. From Tweets to Polls: Linking Text Sentiment to Public Opinion Time Series. Association for the Advancement of Artificial Intelligence (www.aaai.org), 2010. Available at http://www.cs.cmu.edu/~nasmith/papers/oconnor+balasubramanyan+routledge+smith.icwsm10.pdf
• S. Asur and B. Huberman. Predicting the future with social media, 2010. http://arxiv.org/abs/1003.5699
• J. Bollen, H. Mao, and A. Pete. Modeling public mood and emotion: Twitter sentiment and socio-economic phenomena. In ICWSM, 2011.
• J. Bollen, H. Mao, and X.-J. Zeng. Twitter mood predicts the stock market. Journal of Computational Science, 2011.
• A. Culotta. Towards detecting influenza epidemics by analyzing twitter messages. In 1st Workshop on Social Media Analytics (SOMA '10), Washington, DC, USA, 2010.
• B. Jansen, M. Zhang, K. Sobel, A. Chowdury. Twitter Power:Tweets as Electronic Word of Mouth. Journal of the American Society for Information Science and Technology, 60(11):2169–2188, 2009
• A. Vincent, M. Armstrong. Predicting break-points in trading strategies with Twitter. Electronic copy available at: http://ssrn.com/abstract=1685150, October 2010.
• H. F. Xue Zhang and P. Gloor. Predicting stock market indicators through twitter ``i hope it is not as bad as i fear''. Social and behavioral sciences, 2010.
• A. Tumasjan, T. Sprenger, P. Sandner, and I. Welpe. Predicting elections with twitter: What 140 characters reveal about political sentiment. In International AAAI Conference on Weblogs and Social Media, Washington, D.C., 2010.
• K. Lerman and R. Ghosh. Information Contagion:An Empirical Study of the Spread of News on Digg and Twitter Social Networks. Association for the Advancement of Artificial Intelligence (www.aaai.org), 2010.
• M. Cha, H. Haddadi, F. Benevenuto, K. Gummadi. Measuring User Influence in Twitter: The Million Follower Fallacy. Association for the Advancement of Artificial Intelligence (www.aaai.org), 2010.
• T. Sprenger, A. Tumasjan, P. Sandner and I. Welpe. Tweets and Trades: The Information Content of Stock Microblogs. European Financial Management, May 2013.
• T. Sprenger. TweetTrader.net: Leveraging Crowd Wisdom in a Stock Micro blogging Forum. Proceedings of the Fifth International AAAI Conference on Weblogs and Social Media, 2011.
• H. Mao, S. Counts, J. Bollen. Predicting Financial Markets: Comparing Survey, News, Twitter and Search Engine Data. arXiv preprint arXiv:1112.1051, 2011.
• H. Sul, A. Dennis, L. Yuan. Trading on Twitter: The Financial Information Content of Emotion in Social Media, 2014. Available at http://www.hicss.hawaii.edu/hicss_47/bestpapers/Trading%20on%20Twitter_c_%20The%20Financial%20Information%20Content% 20of%20Emotion%20in%20Social%20Media.pdf

Search

• H. Choi and H. Varian. Predicting the present with google trends. Technical report, Google Inc, 2009.
• T. Preis, D. Reith, and H. E. Stanley. Complex dynamics of our economic life on different scales: insights from search engine query data. Philos Transact A Math Phys Eng Sci, 368 (1933):5707--19, 2010.
• S. Goel, J. Hofman, S. Lahaie, D. Pennock, and D. Watts, Predicting consumer behavior with Web search. Microeconomics and Social Systems, Yahoo! Research, April 2010. Available at www.pnas.org/cgi/doi/10.1073/pnas.1005962107
• Z. Da, J. Engelberand, and P. Gao. The sum of all fears: investor sentiment and asset prices. http://ssrn.com/abstract=1509162, 2010.
• Z. Da, J. Engelberand, and P. Gao. In search of attention. Journal of Finance, 66:1461--1499, 2011.
• I. Bordino, S. Battiston, G. Caldarelli, M. Cristelli, A. Ukkonen, and I. Weber. Web search queries can predict stock market volumes. http://arxiv.org/abs/1110.4784

Brands and Brand Equity

• A. O'Connor. An Empirical Pilot Event Study of Popularity and Performance: How Social Media Consumer Brand Fan Count Predicts Stock Prices.
• C. Hulton and J. Hao. What is a Company Really Worth? Intangible Capital and the “Market to Book Value” Puzzle. National Bureau of Economic Research (NBER) Working Paper 14548, 2008.
• L. Frieder and A. Subrahmanyam. Brand Perceptions and the Market for Common Stock, Journal of Financial and Quantitative Analysis, 2005.

Facebook

• Y. Karabulut. Can facebook predict stock market activity? Standford, CA., 2011. National Bureau of Economic Research, Behavioral Finance Meeting, 2013.