Piyush Akimitsu, Ulrich Hounyo
arXiv 20 Oct 2026 · Econometrics
arXiv:2610.28175 · PDF · Extracted main text
We compare the relation between sentiment noise in the Twitter feed and losses for stocks of domestic and foreign firms. The mean quarterly domestic-foreign difference in the slope of next-quarter losses on measured noise is -1.40 (Newey-West t = -2.99). This slope is negative for 78 and 48 percent of the quarters for domestic and foreign stocks, respectively (block-bootstrap p = 0.016). Thus, this relationship is temporally more stable for domestic stocks. We use a noisy rational expectations model to explain these patterns through the composition of the contributor pool. The feeds for stocks of foreign firms have higher repeat-author concentration and a larger model-implied nonfundamental component than those for domestic firms. We interpret these differences through the producer-knowledge mismatch hypothesis. For foreign firms, the English-language contributor pool underrepresents the home-market investors who tend to possess informational advantages about them. Thus, the foreign signal is not gone but diluted.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Farboodi, Matray, Veldkamp and Venkateswaran (2022) Where Has All the Data Gone? | 0.950 | 7 | 3 | 86% |
| 2 | Van Nieuwerburgh and Veldkamp (2009) Information immobility and the home bias puzzle | 0.874 | 6 | 5 | 67% |
| 3 | Miller (1977) Risk, Uncertainty, and Divergence of Opinion | 0.843 | 4 | 3 | 75% |
| 4 | Bartov, Faurel and Mohanram (2018) Can Twitter Help Predict Firm-Level Earnings and Stock Returns? | 0.843 | 3 | 3 | 100% |
| 5 | Sims (2003) Implications of Rational Inattention | 0.843 | 3 | 3 | 100% |
| 6 | Kyle (1985) Continuous Auctions and Insider Trading | 0.737 | 5 | 3 | 40% |
| 7 | Barber and Odean (2008) All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors | 0.737 | 3 | 3 | 67% |
| 8 | García (2013) Sentiment during Recessions | 0.737 | 3 | 3 | 67% |
| 9 | Merton (1987) A simple model of capital market equilibrium with incomplete information | 0.737 | 3 | 3 | 67% |
| 10 | Antweiler and Frank (2004) Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 68 scored citations.