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President Trump, His Tweets, and the Stock Market

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President Trump, His Tweets, and the Stock Market Gustav Frydendahl (92211) Jacob Ross Stenger (93101) President Trump, his tweets, and the stock market A study of how Trump’s tweets affect targeted companies’ stock prices Master’s Thesis Cand.merc. 110 pages / 269.338 characters Supervisor: Michael Ahm Copenhagen Business School May 15, 2019 “I doubt I would be here if it weren’t for social media, to be honest with you” President Donald J. Trump Abstract The microblogging platform Twitter is widely used to gather user-generated content providing meaningful insights to investors and financial analysts. Existing microblogging literature finds that aggregated user-generated content can predict stock price movements. However, limited research examines the stock market effect of high-profile individuals’ tweets (microblog posts on Twitter). One of the most followed users on Twitter is the 45th president of the US, Donald J. Trump. As a ‘businessman in the White House’, the President frequently shares his opinions on specific companies. In this paper, we use the event study methodology to determine how the opinions on targeted companies in Trump’s tweets affect the stock prices of these companies. We advance microblogging research by concluding that President Trump’s tweets directly affect stock prices. Our analysis shows that Trump’s positive company-specific tweets yield positive cumulative average abnormal returns on the day of the company-specific tweets, while negative company-specific tweets have a delayed negative effect on the targeted companies’ stock prices. Since our findings underline that investors react to Trump’s tweets, companies face a new risk (opportunity) which has previously been negligible; the risk (opportunity) of being targeted by the ‘leader of the free world’ on Twitter. As such, our findings have implications for both businesses and financial markets, while contributing to the pending debate regarding President Donald J. Trump’s usage of Twitter. Copenhagen Business School, Denmark, Master Thesis, 2019 Keywords: President Donald J. Trump; tweets; microblogging; abnormal stock returns; capital markets; investment behavior; event study Page 4 of 118 Table of Contents 1 Introduction ..................................................................................................................................... 7 1.1 Research Question .................................................................................................................................. 9 1.2 Motivation and Relevance .................................................................................................................... 10 1.3 Scope and Delimitations ....................................................................................................................... 11 1.4 Structure of Paper ................................................................................................................................ 13 2 Theoretical Foundation ................................................................................................................ 16 2.1 Fundamental Capital Market Theory and Investment Behavior .................................................... 16 2.1.1 Efficient Market Hypothesis ............................................................................................................................ 16 2.1.2 Human Behavior, Emotions, and Animal Spirits ............................................................................................. 18 2.2 Information in the Market ................................................................................................................... 21 2.2.1 Noise as Information ........................................................................................................................................ 21 2.2.2 Information Salience ........................................................................................................................................ 22 2.2.3 Gradual Information Diffusion ......................................................................................................................... 23 2.3 Theoretical expectations ....................................................................................................................... 24 2.3.1 Tweets Containing Original Information ......................................................................................................... 24 2.3.2 Tweets Disseminating Existing Information .................................................................................................... 25 3 Literature Review ......................................................................................................................... 28 3.1 Microblogging and the Stock Market ................................................................................................. 28 3.2 Trump and the Stock Market .............................................................................................................. 31 4 Hypotheses ..................................................................................................................................... 34 4.1 Main Hypotheses ................................................................................................................................... 35 4.2 Sub-Hypotheses ..................................................................................................................................... 35 5 Methodology and Analytical Approach ...................................................................................... 38 5.1 Theory of Science .................................................................................................................................. 39 5.2 The Event Study Methodology ............................................................................................................ 40 5.3 Defining the Event ................................................................................................................................ 41 5.3.1 Sample Fitting .................................................................................................................................................. 42 5.3.2 Sample Grouping .............................................................................................................................................. 44 5.3.2.1 Opinion Segmentation .............................................................................................................................. 44 5.3.2.2 Tweet Sequence ........................................................................................................................................ 46 5.4 Defining the Event Timeline ................................................................................................................ 47 5.4.1 Defining the Length of the Event Window ...................................................................................................... 48 5.4.2 Defining the Length of the Estimation Window .............................................................................................. 49 5.5 Event Study Adjustments .................................................................................................................... 50 5.5.1 Adjusting the Dates of the Events .................................................................................................................... 50 5.5.2 Adjusting for Contaminating Events ................................................................................................................ 51 5.5.3 Adjusting for Contaminating Company Announcements ................................................................................ 52 Page 5 of 118 5.5.4 Other Adjustments ............................................................................................................................................ 54 5.5.5 Final Considerations on Adjustments .............................................................................................................. 55 5.6 Event Study Calculations ..................................................................................................................... 56 5.6.1 Utilized Data .................................................................................................................................................... 56 5.6.2 Abnormal Return (AR) ..................................................................................................................................... 58 5.6.2.1 The Ordinary Least Squares Model (OLS) ............................................................................................... 59 5.6.2.2 The Capital Asset Pricing Model (CAPM) ............................................................................................... 61 5.6.2.3 The Fama-French Three-Factor Model ..................................................................................................... 62 5.6.3 Clustered Events ............................................................................................................................................... 64 5.6.4 Average Abnormal Return (AAR) ................................................................................................................... 65 5.6.5 Cumulative Average Abnormal Return (CAAR) ............................................................................................. 66 5.7 Hypotheses Testing ..............................................................................................................................
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