Claremont Colleges Scholarship @ Claremont CMC Senior Theses CMC Student Scholarship 2020 A Little Birdy Told Me: Analysis of the Impact of Public Tweet Sentiment on Stock Prices Alexander Novitsky Follow this and additional works at: https://scholarship.claremont.edu/cmc_theses Part of the Business Analytics Commons, Portfolio and Security Analysis Commons, and the Technology and Innovation Commons Recommended Citation Novitsky, Alexander, "A Little Birdy Told Me: Analysis of the Impact of Public Tweet Sentiment on Stock Prices" (2020). CMC Senior Theses. 2459. https://scholarship.claremont.edu/cmc_theses/2459 This Open Access Senior Thesis is brought to you by Scholarship@Claremont. It has been accepted for inclusion in this collection by an authorized administrator. For more information, please contact
[email protected]. Claremont McKenna College A Little Birdy Told Me Analysis of the Impact of Public Tweet Sentiment on Stock Prices Submitted to Professor Yaron Raviv and Professor Michael Izbicki By Alexander Lisle David Novitsky For Bachelor of Arts in Economics Semester 2, 2020 May 11, 2020 Novitsky 1 Abstract The combination of the advent of the internet in 1983 with the Securities and Exchange Commission’s ruling allowing firms the use of social media for public disclosures merged to create a wealth of user data that traders could quickly capitalize on to improve their own predictive stock return models. This thesis analyzes some of the impact that this new data may have on stock return models by comparing a model that uses the Index Price and Yesterday’s Stock Return to one that includes those two factors as well as average tweet Polarity and Subjectivity.