{'fraction_non_alphanumeric': 0.0103359173126615, 'fraction_numerical': 0.0103359173126615, 'mean_word_length': 5.25, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
Investor Sentiment, Media and Stock Returns: The Advancement of Social Media

Recent research in behavioural finance has shown the importance of investor sentiment to explain stock market returns. In light of the changes in the media scene from traditional print media towards social media platforms over the past decade, this paper analyses and compares the effect of sentiment indices obtained from different media sources in their ability to explain stock market movements. Using a large set of articles and reader comments covering the time from 2006 to 2020, we show that social media is better in capturing investor sentiment than traditional media outlets. The results of the paper highlight the importance of alternative media sources to understand market behaviour.