Twitter Sentiment and IPO Performance

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


IPO Day

Relationship 1Relationship 2Relationship 3

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


Sentiment

IPO Return



IPO Day

IPO Day

Relationship 1

Slope p-value < 5%9.54% return / 100 units of sentiment

(From Open to Close)

Relationship 2


Sentiment

IPO Return


3 Days Before 2 Days Before

3 Days Before


2 Days Before 1 Day Before

IPO Day



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


Relationship 3

Twitter Sentiment

IPO Return


Open to 20th 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


Sentiment

IPO Return




IPO Day

Relationship 1Relationship 2Relationship 3



Open to 20th Minute





41st Minute to Close61st Minute to CloseOpen to 40th MinuteOpen to 60th Minute


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.

http://www.ssrn.com/

Data & Analytics

Twitter Sentiment and IPO Performance