Factors Moderating the Predictive Power of Social Media Sentiment on Stock Returns
Grant Data
Project Title
Factors Moderating the Predictive Power of Social Media Sentiment on Stock Returns
Principal Investigator
Professor Chau, Michael Chiu Lung
(Principal Investigator (PI))
Duration
36
Start Date
2019-01-01
Completion Date
2021-12-31
Amount
382410
Conference Title
Factors Moderating the Predictive Power of Social Media Sentiment on Stock Returns
Keywords
financial data mining, social media, text analysis
Discipline
Information System Management
Panel
Business Studies (B)
HKU Project Code
17501518
Grant Type
General Research Fund (GRF)
Funding Year
2018
Status
Completed
Objectives
1 To study the moderating role of article quality, author’s position, and author’s popularity, on the effect of sentiment level in social media on predicting stock return. 2 To investigate whether a trading strategy using the measure of sentiment level in social media together with the proposed moderators can achieve better potential trading profits than using sentiment alone.