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    Using social media to identify market inefficiencies: evidence from Twitter and Betfair

    Brown, A. and Rambaccussing, D. and Reade, J.J. and Rossi, Giambattista (2016) Using social media to identify market inefficiencies: evidence from Twitter and Betfair. Working Paper. Birkbeck, University of London, London, UK.

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    Information extracted from social media has been used by academics, and increas- ingly by practitioners, to predict stock returns. But to what extent does social media output predict asset fundamentals, and not simply short-term returns? In this paper we analyse 13.8m posts on Twitter, and high-frequency betting data from Betfair, concern- ing English Premier League soccer matches in 2013/14. Crucially, asset fundamentals are revealed at the end of play. We find that the Tweets of certain journalists, and the tone of all Tweets, contain fundamental information not revealed in betting prices. In particular, Tweets aid in the interpretation of news during matches.


    Item Type: Monograph (Working Paper)
    Additional Information: Birkbeck Sport Business Centre Research Paper Series V9(2) - ISSN: 1756-8811
    Keyword(s) / Subject(s): social media, prediction markets, fundamentals, sentiment, mispricing
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Management
    Research Centre: Sport Business Centre
    Depositing User: Administrator
    Date Deposited: 21 Mar 2017 15:43
    Last Modified: 04 Dec 2017 07:39


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