• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

- Trump Tweets’ impact on financial returns -

Myklebust, Karoline; Aam, Arill André
Master thesis
Thumbnail
View/Open
2628087.pdf (2.811Mb)
URI
https://hdl.handle.net/11250/2686699
Date
2020
Metadata
Show full item record
Collections
  • Master of Science [1555]
Abstract
In this study, we investigate whether U.S. President, Donald Trump’s Twitter

sentiment and activity affect financial markets. By employing the event study

methodology, we provide strong empirical evidence that our small-cap portfolios

and selected sample firms have been affected by Trump’s Twitter sentiment.

Overall, we find that positive sentiment tweets generate positive abnormal returns,

whereas negative sentiment tweets generate negative abnormal returns. The effect

persists multiple days after the announcement date for several of the sample firms,

which is considered a violation of the semi-strong form of the efficient market

hypothesis (EMH). The portfolios are consistent with the EMH for positive

tweets, as the effect is rapidly incorporated (within one day). For negative tweets,

the EMH is violated, as the cumulative average abnormal returns (CAAR)

continue to drift after the event. This indicates that the market finds it more

challenging to value negative Trump sentiment than positive Trump sentiment.

Moreover, we find that Trump’s Twitter sentiment affects stocks across all sizes

and multiple industries in our sample. Further, our secondary study provides

empirical evidence that Trump’s tweet frequency also affects the sample

portfolios. This effect persists over multiple days and accordingly violates the

EMH. Lastly, we present complementary findings regarding volume traded,

market volatility, and the variability in the effect of Trump’s tweets over time.
Description
Masteroppgave(MSc) in Master of Business - Handelshøyskolen BI, 2020
Publisher
Handelshøyskolen BI

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit