Journal of Portfolio Management, Spring 2017, Vol. 43, No. 3: pp. 102-111
“第六个”因子——直接产生于Twitter用户情绪的社交媒体因子
作者：Jim Liew (The Johns Hopkins Carey Business School), Tamas Budavari (The Johns Hopkins University- The Dpartment of Applied Mathematics and Statistics)
摘要：机构投资者对于社交媒体在资产定价中作用的理解可能不是很到位。虽然一些顶尖的对冲基金使用twitter上收集的基于用户的信息来进行资产定价🤠👩🏿🍼，但是其他人对两者之间的关系却是知之甚少。在这篇文章中🔀，作者试图去解开社交媒体用户情绪和证券收益率表现的谜团。他们意外地发现，即使在大家所熟知的证券因子存在的情况下3️⃣，twitter用户情绪也能够显著解释同期股票日收益率时间序列的变化。通过对StockTwits (操盘手们用于在Twitter上跟踪股票走势等相关讨论的最流行工具之一)的twitter用户情绪的检验，作者发现了“第六个”因子🧓🏽，即社交媒体因子🦘，并且他们还强调了该因子与Fama-French因子的区别🏌🏽♂️👋🏻。
The “Sixth” Factor—A Social Media Factor Derived Directly from Tweet Sentiments
ABSTRACT
Institutional investors may have an unclear understanding of the role of social media in asset price determination. Although some of the top quant hedge funds use crowd-based information gleaned from tweets, this relationship may be opaque to the rest of our community. In this article, the authors attempt to clarify the confusion regarding social media sentiment and security return behavior. They show that, surprisingly, Tweet sentiments have significant power in explaining the time-series contemporaneous variation in daily stock returns, even in the presence of well-known equity factors. By examining direct tweet sentiments as provided by StockTwits, the authors claim to have identified a Social Media Factor, the “sixth” factor, and they highlight the distinctions vis-à-vis Fama–French’s factors.
原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.3.102
翻译：唐国梅
