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Twitter Sentiment and IPO Performance:A Cross-Sectional Examination
RESEARCH BY PROF. J IM LIEW AND GARRETT WANG
PRESENTATION BY GARRETT WANG (M.S. in Finance Student)
Background on Twitter SentimentSentiment extracted from tweets.
Realized by machine learning algorithms.2
All Twitter sentiment data provided by iSENTIUM, LLC.
Real-time tweets with tickers of
stocks, ETFs and indices
Algorithms (NLP) to interpret and
assign sentiment numbers
Each number from -100 to +100,
sentiment polarity and magnitude
2. Go, A., Bhayani, R., & Huang, L. (2009). Twitter Sentiment Classification Using Distant Supervision.
Background on Twitter SentimentPositive sentiment:
“Long $AAPL, $GLD, $SLW, $ABX. Short $KO, $WMT (although I sold some today under $77)”
“Gold: A Fresh Rally Begins Today http://t.co/eM7ELqfDDx $GDX $GLTR $NUGT $SLV $GLD”
“A bunch of new all-time highs on the St50 list today: $CVLT $FNGN $FEIC $RAX $TYL $TRS”
Negative sentiment:
“$CAT $DECK $KEG $CSTR down down down”
“Morgan Stanley Slashes Its Gold Target, Warns 'The Pillars Are Crumbling' $GLD”
“$XLB and XLE were very weak comparatively”
Data Example (Alibaba IPO)
Each stock ticker / CSV file8,000+ stock tickers
2013-2014
70 GB CSV filesPython (Pandas, NumPy, Matplotlib)
SampleTwitter
sentiment for 8,000+
stock tickers, 2013-2014
A list of IPOs in NYSE or NASDAQ,
2013-2014
A list of 325 IPOs in NYSE or NASDAQ with
Twitter sentiment, 2013-2014
Relationships to Examine
3 Days Before 2 Days BeforeTwitter
Sentiment
IPO Return
1 Day Before IPO Day
3 Days Before 2 Days Before 1 Day Before IPO Day
3 Days Before 2 Days Before 1 Day Before IPO Day
IPO Day
Relationship 1Relationship 2Relationship 3
Open to 20th Minute 21st Minute to Close
Open to 20th Minute 21st Minute to Close
Open to 20th Minute
21st Minute to Close
From Offer Price to Open Price
From Open Price to Close Price
Open to 40th MinuteOpen to 60th Minute
41st Minute to Close61st Minute to CloseOpen to 40th MinuteOpen to 60th Minute
41st Minute to Close61st Minute to Close
Relationship 1
3 Days Before 2 Days BeforeTwitter
Sentiment
IPO Return
1 Day Before IPO Day
3 Days Before 2 Days Before 1 Day Before IPO Day
IPO Day
IPO Day
Relationship 1
Slope p-value < 5%9.54% return / 100 units of sentiment
(From Open to Close)
Relationship 2
3 Days Before 2 Days BeforeTwitter
Sentiment
IPO Return
1 Day Before IPO Day
3 Days Before 2 Days Before
3 Days Before
1 Day Before IPO Day
2 Days Before 1 Day Before
IPO Day
From Offer Price to Open Price
From Open Price to Close Price
Relationship 2
Slope p-value < 5%
(From Open to Close)(From Offer to Open)
Relationship 2
Slope p-value< 5%; < 10%
(From Offer to Open) (From Open to Close)
Relationship 2
Slope p-value < 5%
(From Open to Close)(From Offer to Open)
Open to 20th Minute
21st Minute to Close
Relationship 3
Twitter Sentiment
IPO Return
21st Minute to Close
Open to 20th Minute
41st Minute to Close61st Minute to Close
Open to 40th MinuteOpen to 60th Minute
Open to 20th MinuteOpen to 40th MinuteOpen to 60th Minute
21st Minute to Close41st Minute to Close61st Minute to Close
Relationship 3
Slope p-value > 10%
Relationship 3
Slope p-value > 10%
Relationship 3
Slope p-value > 10%
Conclusion
3 Days Before 2 Days BeforeTwitter
Sentiment
IPO Return
1 Day Before IPO Day
3 Days Before 2 Days Before 1 Day Before IPO Day
3 Days Before 2 Days Before 1 Day Before IPO Day
IPO Day
Relationship 1Relationship 2Relationship 3
Open to 20th Minute 21st Minute to Close
Open to 20th Minute 21st Minute to Close
Open to 20th Minute
21st Minute to Close
From Offer Price to Open Price
From Open Price to Close Price
Open to 40th MinuteOpen to 60th Minute
41st Minute to Close61st Minute to CloseOpen to 40th MinuteOpen to 60th Minute
41st Minute to Close61st Minute to Close
ConclusionTo our best knowledge, the first literature studying Twitter sentiment vs. IPO short-term returns.
Sentiment analysis from social media has enormous valuable information.
May provide new and valuable edge for financial institutions, but not limited to finance.
May be applied to a variety of industries, for business intelligence.
Have also examined relationships with excess IPO returns (net of SPY and Sector ETFs), consistent results.
“Twitter Sentiment and IPO Performance: A Cross-Sectional Examination” – Social Science Research Network (SSRN), www.ssrn.com.
Search on Google Scholar or Google.
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