Social Media Discussion of Sell-Side Analyst Research : Evidence from Twitter

We examine Twitter discussion of analysts' stock recommendation revisions. While many investors lack direct access to analyst research, approximately 90% of the revisions in our sample (2013 to 2020) are discussed on Twitter, with the majority of revisions receiving Twitter coverage within three hours of their announcement. We find that revision-related Twitter discussion is more extensive for upgrades and for analysts from larger brokerages. Examining within-revision intraday price discovery, we also observe increased levels of price discovery during intraday windows with more revision-related tweets, especially for tweets with more user engagement and those posted by more influential authors. Finally, our evidence suggests revision-related Twitter discussion improves retail investors’ response to revision news, and we observe no such evidence for institutional investors who typically have direct access to sell-side research. Overall, our results indicate that Twitter is an important channel in facilitating price discovery following analyst revisions, particularly among retail investors