Markit study confirms social media sentiment measures are effective signals of future stock performance
Markit, a leading global diversified provider of financial information services, announced that it has partnered with Social Market Analytics (SMA) to provide new signals of investor sentiment designed to help customers inform their trading strategies or investment process. The social media indicators enhance the Markit Research Signals suite of more than 400 investment factors which can be used by customers to evaluate the expected performance of stocks-based sentiment indicators.
An analytical study of the social media signals entitled “#Alpha: Extracting Market Sentiment from 140 Characters” concluded that the signals accurately and consistently predict future stock returns. From December 2011 to November 2013, Markit’s analysis found positive social media sentiment stocks have shown cumulative returns of 76% while negative sentiment stocks have returned -14%. Markit’s social media indicators are based on SMA’s analysis of the text content in daily Twitter posts. Tweets are filtered for financial trading relevance and scored for market sentiment content. Using aggregate Tweet data to identify potential buy and sell candidates, the indicators gauge investor outlook on stocks covering the following broad categories: tweet sentiment, tweet volume, relative value, changing sentiment and dispersion.
Source: Markit Press Release
