A Longer-Term Evaluation of Information Releases by Influential Market Agents and the Semi-Strong Market Efficiency

References

• Agrrawal, P. 2009. “An Automation Algorithm for Harvesting Capital Market Information from the Web.” Managerial Finance 35 (5):427–38. doi: 10.1108/03074350910949790
   Web of Science ®Google Scholar
• Agrrawal, P. 2023. “The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties.” Mathematics 11 (9):2198. doi: 10.3390/math11092198
   Web of Science ®Google Scholar
• Agrrawal, P., F. W. Gilbert, and J. Harkins. 2022. “Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?” Journal of Risk and Financial Management 15 (11):520. doi: 10.3390/jrfm15110520
   Web of Science ®Google Scholar
• Ajjoub, C., T. Walker, and Y. Zhao. 2020. “Social Media Posts and Stock Returns: The Trump Factor.” International Journal of Managerial Finance 17 (2):185–213. doi: 10.1108/IJMF-02-2020-0068
   Web of Science ®Google Scholar
• Ante, L. 2023. “How Elon Musk’s Twitter Activity Moves Cryptocurrency Markets.” Technological Forecasting and Social Change 186 (A):122112. doi: 10.1016/j.techfore.2022.122112.
   Google Scholar
• Ball, R., and P. Brown. 1968. “An empirical evaluation of accounting income numbers.” Journal of Accounting Research 6 (2):159–78. doi: 10.2307/2490232
   Web of Science ®Google Scholar
• Bollen, J., H. Mao, and X. Zeng. 2011. “Twitter Mood Predicts the Stock Market.” Journal of Computational Science 2 (1):1–8. doi: 10.1016/j.jocs.2010.12.007
   Web of Science ®Google Scholar
• Bordalo, P., N. Gennaioli, and A. Shleifer. 2022. “Overreaction and Diagnostic Expectations in Macroeconomics.” Journal of Economic Perspectives 36 (3):223–44. doi: 10.1257/jep.36.3.223
   Web of Science ®Google Scholar
• Brans, H., and B. Scholtens. 2020. “Under His Thumb the Effect of President Donald Trump’s Twitter Messages on the US Stock Market.” PLoS One 15 (3):e0229931. doi: 10.1371/journal.pone.0229931.
   PubMed Web of Science ®Google Scholar
• Broadstock, D., and D. Zhang. 2019. “Social-Media and Intraday Stock Returns: The Pricing Power of Sentiment.” Finance Research Letters 30. doi: 10.1016/j.frl.2019.03.030
   Google Scholar
• Brock, W., J. Lakonishok, and B. LeBaron. 1992. “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” The Journal of Finance 47 (5):1731–64. doi: 10.1111/j.1540-6261.1992.tb04681.x
   Web of Science ®Google Scholar
• Brown, S. J., and J. B. Warner. 1980. “Measuring Security Price Performance.” Journal of Financial Economics 8 (3):205–58. doi: 10.1016/0304-405X(80)90002-1
   Web of Science ®Google Scholar
• Brown, S. J., and J. B. Warner. 1985. “Using Daily Stock Returns: The Case of Event Studies.” Journal of Financial Economics 14 (1):3–31. doi: 10.1016/0304-405X(85)90042-X
   Web of Science ®Google Scholar
• Bruce, B. 2002. “Stock Analysts: Experts on Whose Behalf?” Journal of Psychology and Financial Markets 3 (4):198–201. doi:10.1207/S15327760JPFM0304_01.
   Google Scholar
• Burggraf, T., R. Fendel, and T. L. D. Huynh. 2020. “Political News and Stock Prices: Evidence from Trump’s Trade War.” Applied Economics Letters 27 (18):1485–8. doi: 10.1080/13504851.2019.1690626
   Web of Science ®Google Scholar
• Campbell, J., A. Lo, A. C. MacKinlay, and R. F. Whitelaw. 1998. “The Econometrics of Financial Markets.” Macroeconomic Dynamics 2 (4):559–62. https://EconPapers.repec.org/RePEc:cup:macdyn:v:2:y:1998:i:04:p:559-562_00
   Google Scholar
• Cano-Marin, E., M. Mora-Cantallops, and S. Sánchez-Alonso. 2023. “Twitter as a Predictive System: A Systematic Literature Review.” Journal of Business Research 157:113561. doi: 10.1016/j.jbusres.2022.113561.
   Web of Science ®Google Scholar
• Chamberlain, B., Z. Liu, and L. A. Smales. 2023. “Short Interest and the Stock Market Relation with News Sentiment from Traditional and Social Media Sources.” Australian Economic Papers 62 (2):321–34. doi:10.1111/1467-8454.12297.
   Web of Science ®Google Scholar
• Chan, W. S. 2003. “Stock Price Reaction to News and No-News: Drift and Reversal after Headlines.” Journal of Financial Economics 70 (2):223–60. doi: 10.1016/S0304-405X(03)00146-6
   Web of Science ®Google Scholar
• Choi, H. 2021. “Investor Attention and Bitcoin Liquidity: Evidence from Bitcoin Tweets.” Finance Research Letters 39:101555. doi: 10.1016/j.frl.2020.101555.
   Web of Science ®Google Scholar
• Clarke, J., T. Jandik, and G. Mandelker. 2001. “The Efficient Markets Hypothesis.” Expert Financial Planning: Advice from Industry Leaders 7 (3/4):126–41.
   Google Scholar
• Corrado, C. J., and T. L. Zivney. 1992. “The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns.” The Journal of Financial and Quantitative Analysis 27 (3):465–78. doi: 10.2307/2331331.
   Web of Science ®Google Scholar
• David, B., C. Seigner, H. Milanov, E. Lundmark, and D. A. Shepherd. 2023. “Tweeting like Elon? Provocative Language, New-Venture Status, and Audience Engagement on Social Media.” Journal of Business Venturing 38 (2):106282. doi: 10.1016/j.jbusvent.2022.106282.
   Web of Science ®Google Scholar
• DeBondt, W. F. M., and R. H. Thaler. 1990. “Do Security Analysts Overreact?” American Economic Review 80 (2):52–7. http://www.jstor.org/stable/2006542.
   Web of Science ®Google Scholar
• Diallo, O. K., P. Mendy, and A. Burlea-Schiopoiu. 2021. “A Method to Test Weak-Form Market Efficiency from Sectoral Indices of the WAEMU Stock Exchange: A Wavelet Analysis.” Heliyon 7 (1):e05858. doi:10.1016/j.heliyon.2020.e05858.
   PubMed Web of Science ®Google Scholar
• Fama, E. F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” The Journal of Finance 25 (2):383–417. doi: 10.2307/2325486
   Web of Science ®Google Scholar
• Fama, E. F., L. Fisher, M. C. Jensen, and R. Roll. 1969. “The Adjustment of Stock Prices to New Information.” International Economic Review 10 (1):1–21. doi: 10.2307/2525569
   Google Scholar
• Fama, E. F., and K. R. French. 1996. “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51 (1):55–84. doi: 10.1111/j.1540-6261.1996.tb05202.x
   Web of Science ®Google Scholar
• Gjerstad, P., P. F. Meyn, P. Molnár, and T. D. Næss. 2021. “Do President Trump’s Tweets Affect Financial Markets?” Decision Support Systems 147:113577. doi: 10.1016/j.dss.2021.113577
   Web of Science ®Google Scholar
• Goldsticker, R., and P. Agrrawal. 1999. “The Effects of Blending Primary and Diluted EPS Data.” Financial Analysts Journal 55 (2):51–60. doi: 10.2469/faj.v55.n2.2260
   Google Scholar
• Grossman, S. J., and J. E. Stiglitz. 1980. “On the Impossibility of Informationally Efficient Markets.” American Economic Review 70:393–408.
   Web of Science ®Google Scholar
• Gu, C., and A. Kurov. 2020. “Informational Role of Social Media: Evidence from Twitter Sentiment.” Journal of Banking & Finance 121:105969. doi: 10.1016/j.jbankfin.2020.105969
   Web of Science ®Google Scholar
• Guo, S., Y. Jiao, and Z. Xu. 2021. “Trump’s Effect on the Chinese Stock Market.” Journal of Asian Economics 72:101267. doi: 10.1016/j.asieco.2020.101267
   Web of Science ®Google Scholar
• Heavey, C., Z. Simsek, C. Kyprianou, and M. Risius. 2020. “How Do Strategic Leaders Engage with Social Media? A Theoretical Framework for Research and Practice.” Strategic Management Journal 41 (8):1490–527. doi: 10.1002/smj.3156.
   Web of Science ®Google Scholar
• Huynh, T. L. D. 2021. “Does Bitcoin React to Trump’s Tweets?” Journal of Behavioral and Experimental Finance 31:100546. doi: 10.1016/j.jbef.2021.100546.
   Web of Science ®Google Scholar
• Jensen, M. C. 1968. “The Performance of Mutual Funds in the Period 1945–1964.” The Journal of Finance 23 (2):389–416. doi: 10.1111/j.1540-6261.1968.tb00815.x
   Web of Science ®Google Scholar
• Jurdi, D. J. 2022. “Predicting the Australian Equity Risk Premium.” Pacific-Basin Finance Journal 71:101683. doi: 10.1016/j.pacfin.2021.101683.
   Web of Science ®Google Scholar
• Keown, A. J., and J. M. Pinkerton. 1981. “Merger Announcements and Insider Trading Activity: An Empirical Investigation.” The Journal of Finance 36 (4) :855–69. doi: 10.1111/j.1540-6261.1981.tb04888.x
   Web of Science ®Google Scholar
• Klaus, J., and C. Koser. 2021. “Measuring Trump: The Volfefe Index and Its Impact on European Financial Markets.” Finance Research Letters 38:101447. doi: 10.1016/j.frl.2020.101447
   Web of Science ®Google Scholar
• Klebnikov, S. 2021. “Elon Musk Is The Richest Person In The World—Again.” Forbes. Accessed March 11, 2023. www.forbes.com/sites/sergeiklebnikov/2021/01/14/elonmusk-is-the-richest-person-in-the-world-again.
   Google Scholar
• Kraaijeveld, O., and J. De Smedt. 2020. “The Predictive Power of Public Twitter Sentiment for Forecasting Cryptocurrency Prices.” Journal of International Financial Markets, Institutions and Money 65:101188. doi: 10.1016/j.intfin.2020.101188.
   Web of Science ®Google Scholar
• Liu, Y., and I. Popova. 2023. “Threats to Central Bank Independence and Exchange Rate Volatility: High-Frequency Identification with Trump’s Fed Tweets.” Finance Research Letters 53:103641. doi: 10.1016/j.frl.2023.103641
   Web of Science ®Google Scholar
• Lo, A. W., H. Mamaysky, and J. Wang. 2000. “Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.” The Journal of Finance 55 (4) :1705–65. doi: 10.1111/0022-1082.00265
   Web of Science ®Google Scholar
• Malkiel, B. G. 1995. “Returns from Investing in Equity Mutual Funds 1971 to 1991.” The Journal of Finance 50 (2):549–72. doi: 10.1111/j.1540-6261.1995.tb04795.x
   Web of Science ®Google Scholar
• Musk, E. 2018. “Tweet 07 Aug 2018: Am considering taking Tesla private at $420. Funding secured.” Accessed March 11, 2023. https://twitter.com/elonmusk/status/1026872652290379776.
   Google Scholar
• Musk, E. 2020. “Tweet 04 Jan 2020: Break up Amazon.” Accessed March 11, 2023. https://twitter.com/elonmusk/status/1268603809409888256.
   Google Scholar
• Neely, C., P. Weller, and R. Dittmar. 1997. “Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach.” The Journal of Financial and Quantitative Analysis 32 (4):405–26. doi: 10.2307/2331231
   Web of Science ®Google Scholar
• Nguyen, J., A. Valadkhani, A. Nguyen, and A. Wake. 2021. “Press Freedom and the Global Economy: The Cost of Slipping Backwards.” Journalism Studies 22 (4):399–417. doi: 10.1080/1461670X.2021.1873822
   Web of Science ®Google Scholar
• Nicolau, J. L., A. Sharma, and S. Shin. 2020. “The Tourism Effect of President Trump’s Participation on Twitter.” Tourism Management 81:104133. doi: 10.1016/j.tourman.2020.104133
   Web of Science ®Google Scholar
• Ranco, G., D. Aleksovski, G. Caldarelli, M. Grcar, and I. Mozetic. 2015. “The Effects of Twitter Sentiment on Stock Price Returns.” PLoS One 10 (9):e0138441. doi: 10.1371/journal.pone.0138441
   PubMed Web of Science ®Google Scholar
• Rozeff, M. S., and M. A. Zaman. 1988. “Market Efficiency and Insider Trading: New Evidence.” The Journal of Business 61 (1):25–44. doi: 10.1086/296418
   Web of Science ®Google Scholar
• Šević, J. S., N. Stakić, and A. J. Stakić. 2022. “Impact of Twitter on Stock Market Performance: Evidence from Elon Musk and Tesla.” Proceedings of the 1st International Conference on Innovation in Information Technology and Business, 47–52. doi: 10.2991/978-94-6463-110-4_5.
   Google Scholar
• Shahzad, S. J. H., M. Anas, and E. Bouri. 2022. “Price Explosiveness in Cryptocurrencies and Elon Musk’s Tweets.” Finance Research Letters 47:102695. doi: 10.1016/j.frl.2022.102695.
   Web of Science ®Google Scholar
• Shubber, K. 2017. “Stop Worrying about Trump’s Tweets.” Financial Times. Accessed March 11, 2023. https://ftalphaville.ft.com/2017/01/06/2181929/stop-worrying-about-trumps-tweets/.
   Google Scholar
• Tao, X., S. Zhang, and X. Wang. 2023. “Managerial Strategic Earnings Disclosure via Social Media: Evidence from 18 Million Corporate Tweets.” Journal of Behavioral Finance 1–21. doi:10.1080/15427560.2023.2184367.
   Web of Science ®Google Scholar
• U.S. Securities and Exchange Commission. 2021. TESLA, INC. Form 10-Q. March 31, 2021.
   Google Scholar
• Valadkhani, A. 2023. “Performance of Renewable and Non-Renewable Exchange-Traded Funds during Heightened Uncertainty.” Applied Economics 1–19.
   Web of Science ®Google Scholar
• Waggle, D., and P. Agrrawal. 2010. “The Dispersion of ETF Betas on Financial Websites.” The Journal of Investing 19 (1):13–24. doi: 10.3905/JOI.2010.19.1.013.
   Google Scholar
• Wolf, M., M. Schimmer, A. Levchenko, and S. Müller. 2014. “Event study tools.” Accessed February 1, 2023. http://www.eventstudytools.com.
   Google Scholar
• WRDS. 2023. Pricing data on stocks. Wharton Research Data Services. Accessed March 1, 2023. https://wrds-www.wharton.upenn.edu/.
   Google Scholar
• Zinoviev, D., A. Sarkar, and P. Bicen. 2023. “The Non-Musk Effect at Twitter.” Working Paper. Accessed May 14, 2023. https://www.researchgate.net/publication/370211652_The_Non-Musk_Effect_at_Twitter.
   Google Scholar