Knowledge that Transforms

In light of changes in the media landscape from traditional print towards social media, in this study we compare the ability of investor sentiment measures obtained from various media sources to predict short-term market returns. We show that investor sentiment extracted from the social media platform Seeking Alpha is better in predicting market returns than investor sentiment obtained from the Wall Street Journal , a traditional print medium. Seeking Alpha is more suitable for the extraction of investor sentiment due to the richer language and timeliness of online media. • Research in behavioural finance has shown the importance of irrational investor sentiment to explain transitory stock market returns. • This study compares the ability of investor sentiment measures obtained from various media sources to predict short-term market returns. • Using a large data set of daily articles and reader comments from 2006 to 2020, this study shows that investor sentiment extracted from the social media platform Seeking Alpha is better in predicting market returns than investor sentiment obtained from the Wall Street Journal, a traditional print medium. • Seeking Alpha is more suitable to extract investor sentiment because of the richer language and timeliness of online media. • In contrast, differences in the volume and length of articles published on Seeking Alpha, and the greater variety of contributors, cannot explain the relative advantage of social media.