The Role of Social Media in the Corporate Bond Market: Evidence from Twitter

Published Online:https://doi.org/10.1287/mnsc.2022.4589

References

  • Akins B (2018) Financial reporting quality and uncertainty about credit risk among ratings agencies. Accounting Rev. 93(4):1–22.CrossrefGoogle Scholar
  • Altman E (1968) Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J. Finance 23:589–609.CrossrefGoogle Scholar
  • Ashcraft A, Santos J (2009) Has the CDS market lowered the cost of corporate debt? J. Monetary Econom. 56(4):514–523.CrossrefGoogle Scholar
  • Bai J, Wu L (2016) Anchoring credit default swap spreads to firm fundamentals. J. Financial Quant. Anal. 51:1521–1543.CrossrefGoogle Scholar
  • Bartov E, Faurel L, Mohanram P (2018) Can Twitter help predict firm-level earnings and stock returns? Accounting Rev. 93:25–57.CrossrefGoogle Scholar
  • Beaver W, Correia M, McNichols M (2011) Financial statement analysis and the prediction of financial distress. Foundations Trends Accounting 5(2):99–173.CrossrefGoogle Scholar
  • Begley J, Ming J, Watts S (1996) Bankruptcy classification errors in the 1980s: An empirical analysis of Altman’s and Ohlson’s models. Rev. Accounting Stud. 1:267–284.CrossrefGoogle Scholar
  • Bessembinder H, Kahle K, Maxwell W, Xu D (2009) Measuring abnormal bond performance. Rev. Financial Stud. 22:4219–4258.CrossrefGoogle Scholar
  • Bharath S, Shumway T (2008) Forecasting default with the Merton distance to default model. Rev. Financial Stud. 21(3):1339–1369.CrossrefGoogle Scholar
  • Bhojraj S, Swaminathan B (2009) How does the corporate bond market value capital investments and accruals? Rev. Accounting Stud. 14:31–62.CrossrefGoogle Scholar
  • Black F, Scholes M (1973) The pricing of options and corporate liabilities. J. Political Econom. 7:637–654.CrossrefGoogle Scholar
  • Bonsall S, Miller B (2017) The impact of narrative disclosure readability on bond ratings and the cost of debt capital. Rev. Accounting Stud. 22(2):608–643.CrossrefGoogle Scholar
  • Callen J, Livnat J, Segal D (2009) The impact of earnings on the pricing of credit default swaps. Accounting Rev. 84(5):1363–1394.CrossrefGoogle Scholar
  • Campbell J, Chen H, Dhaliwal D, Lu H, Steele L (2014) The information content of mandatory risk factor disclosures in corporate filings. Rev. Accounting Stud. 19(1):396–455.CrossrefGoogle Scholar
  • Carhart M (1997) On persistence in mutual fund performance. J. Finance 52:57–82.CrossrefGoogle Scholar
  • Cassar G, Ittner C, Cavalluzzo K (2015) Alternative information sources and information asymmetry reduction: Evidence from small business debt. J. Accounting Econom. 59(2–3):242–263.CrossrefGoogle Scholar
  • Chava S, Jarrow R (2004) Bankruptcy prediction with industry effects. Rev. Finance 8:537–569.CrossrefGoogle Scholar
  • Chen H, De P, Hu Y, Hwang B (2014) Wisdom of crowds: The value of stock opinions transmitted through social media. Rev. Financial Stud. 27:1367–1403.CrossrefGoogle Scholar
  • Curtis A, Richardson V, Schmadebeck R (2016) Investor attention and the pricing of earnings news. Mitra G, Yu X, eds. Handbook of Sentiment Analysis in Finance (Albury Press, London), 212–232.Google Scholar
  • Da Z, Engelberg J, Gao P (2011) In search of attention. J. Finance 66:1461–1499.Google Scholar
  • Datta S, Dhillon U (1993) Bond and stock market response to unexpected earnings announcements. J. Financial Quant. Anal. 28(4):565–577.CrossrefGoogle Scholar
  • DeFond M, Zhang J (2014) The timeliness of bond market reaction to bad earnings news. Contempory Accounting Res. 31:911–936.CrossrefGoogle Scholar
  • De Franco G, Vasvari F, Wittenberg-Moerman R (2009) The informational role of bond analysts. J. Accounting Res. 47:1201–1248.CrossrefGoogle Scholar
  • Dick-Nielsen J (2009) Liquidity biases in TRACE. J. Fixed Income 19:43–55.CrossrefGoogle Scholar
  • Dick-Nielsen J (2014) How to clean enhanced TRACE data. Working paper, Copenhagen Business School, Frederiksberg, Denmark.Google Scholar
  • Easton P, Monahan S, Vasvari F (2009) Initial evidence on the role of accounting earnings in the bond market. J. Accounting Res. 47:721–766.CrossrefGoogle Scholar
  • Engelberg J (2008) Costly information processing: Evidence from earnings announcements. Working paper, University of California, San Diego.Google Scholar
  • Even-Tov O (2017) When does the bond price reaction to earnings announcements predict future stock returns? J. Accounting Econom. 64:167–182.CrossrefGoogle Scholar
  • Fama E, French K (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33:3–56.CrossrefGoogle Scholar
  • Fama E, French K (1997) Industry costs of equity. J. Financial Econom. 43:153–193.CrossrefGoogle Scholar
  • Gabrovšek P, Aleksovski D, Mozetič I, Grčar M (2017) Twitter sentiment around the earnings announcement events. PLoS One 12(2):e0173151.CrossrefGoogle Scholar
  • Gkougkousi X (2014) Aggregate earnings and corporate bond markets. J. Accounting Res. 52(1):75–106.CrossrefGoogle Scholar
  • Gu C, Kurov A (2020) Informational role of social media: Evidence from Twitter sentiment. J. Banking Finance 121:105969.CrossrefGoogle Scholar
  • Hillegeist S, Keating E, Cram D, Lundstedt K (2004) Assessing the probability of bankruptcy. Rev. Accounting Stud. 9:5–34.CrossrefGoogle Scholar
  • Hirschey M, Richardson V, Scholz S (2000) Stock price effects of Internet buy-sell recommendations: The Motley Fool case. Financial Rev. 35:147–174.CrossrefGoogle Scholar
  • Hotchkiss E, Ronen T (2002) The informational efficiency of the corporate bond market: An intraday analysis. Rev. Financial Stud. 15:1325–1354.CrossrefGoogle Scholar
  • Hu M, Liu B (2004) Mining and summarizing customer reviews. Proc. ACM SIGKDD Internat. Conf. on Knowledge Discovery & Data Mining (Association for Computing Machinery, New York), 168–177.Google Scholar
  • Jame R, Johnston R, Markov S, Wolfe M (2016) The value of crowdsourced earnings forecasts. J. Accounting Res. 54(4):1077–1110.CrossrefGoogle Scholar
  • Jiang G, Lee C, Zhang Y (2005) Information uncertainty and expected returns. Rev. Accounting Stud. 10:185–221.CrossrefGoogle Scholar
  • Jung M, Naughton J, Tahoun A, Wang C (2018) Do firms strategically disseminate? Evidence from corporate use of social media. Accounting Rev. 93:225–252.CrossrefGoogle Scholar
  • Loughran T, McDonald B (2011) When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. J. Finance 66:35–65.CrossrefGoogle Scholar
  • Mao Y, Wei W, Wang B, Liu B (2012) Correlating S&P 500 stocks with Twitter data. Proc. 1st ACM Internat. Workshop on Hot Topics on Interdisciplinary Social Networks, 69–72.Google Scholar
  • McCrum D (2018) Most bonds don’t trade. Financial Times (September 10), https://www.ft.com/content/3175772a-7ea0-3b61-ae53-063459e78c42.Google Scholar
  • Merton R (1974) On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29:449–470.Google Scholar
  • Micu M, Remolona E, Woolridge P (2004) The price impact of rating announcements: Evidence from the credit default swap market. BIS Quart. Rev. June:55–65.Google Scholar
  • Narayanan V, Arora I, Bhatia A (2013) Fast and accurate sentiment classification using an enhanced Naive Bayes model. Intelligent Data Engineering and Automated Learning IDEAL 2013. Lecture Notes in Comput. Sci. 8206:194–201.CrossrefGoogle Scholar
  • Ohlson J (1980) Financial ratios and the probabilistic prediction of bankruptcy. J. Accounting Res. 18:109–131.CrossrefGoogle Scholar
  • Ohlson J, Juettner-Nauroth B (2005) Expected EPS and EPS growth as determinants of value. Rev. Accounting Stud. 10:349–365.CrossrefGoogle Scholar
  • Ranco G, Aleksovski D, Caldarelli G, Grčar M, Mozetič I (2015) The effects of Twitter sentiment on stock price returns. PLoS One 10(9):e0138441.CrossrefGoogle Scholar
  • Ronen T, Zhou X (2013) Trade and information in the corporate bond market. J. Financial Marketing 16:61–103.CrossrefGoogle Scholar
  • Sethuraman M (2019) The effect of reputation shocks to rating agencies on corporate disclosures. Accounting Rev. 94:299–326.CrossrefGoogle Scholar
  • Shumway T (1997) The delisting bias in CRSP data. J. Finance 52:327–340.CrossrefGoogle Scholar
  • Tetlock P (2007) Giving content to investor sentiment: The role of media in the stock market. J. Finance 62:1139–1168.CrossrefGoogle Scholar
  • Wall Street Journal (2014) Study: Crowdsourced stock opinions beat analysts, news. Wall Street Journal (March 19), https://www.wsj.com/articles/BL-VCDB-14192.Google Scholar
  • Zhang X (2006) Information uncertainty and stock returns. J. Finance 61:105–136.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.