Social activity and Investors’ attention on Facebook: A study exploring the relationship with stock returns

Lorenzo Bertolino & Stefan Stronciu

Student thesis: Master thesis


This thesis explores the role of social activity on corporate Facebook fan pages as a proxy for investors’ attention and its relationship with stock returns. Previous researches (Odean, 1999, 2008) proved that non-institutional investors tend to buy stocks that recently grabbed their attention. Starting from this concept we test if the amount of social attention directed toward a certain company is capable of affecting the market behavior of all the actors that trade its stock, that is, if it affects the stock returns of the specific company. Following the aforementioned researches we then narrow our focus on periods of abnormally high social activity and test if this positively impacts the net buying behavior of the market actors and consequently the stock returns. The focus will be on ten of the twenty companies included in the OMXC20 and their respective corporate Facebook fan page. We download from the latter the amounts of Posts, Comments and Likes that have been performed on a daily basis and by using a multiple distributed lag model, in which we also include economic and financial control variables, we try to disclose the existence of any relationship with the stock returns. The time periods analyzed vary for each company with a minimum of 964 observations/days for Maersk and 1458 observations/days for Havkatten (Jyske Bank). This study finds that there are few significant results that would indicate the positive effect of social attention on stock returns. Nonetheless, we are prudent about stating the validity of the efficient market hypothesis since there are plenty of other studies making solid arguments against it. It is important to highlight that the activity on the Facebook corporate fan page might be used to understand other phenomena, in particular the effect that a certain event has on stock returns. The authors believe that social attention will be more relevant in the future considering the increasing presence of social networks in society.

EducationsMSc in Applied Economics and Finance, (Graduate Programme) Final Thesis
Publication date2015
Number of pages112