Corporate Bond Liquidity and Investor Sentiment
type: CreativeWork
description: I evaluate the effect of firm-level investor sentiment derived from Twitter feed and news stories on a firm’s bond liquidity. I employ an ordinary least squares regression to examine the relationship between firm-level investor sentiment and corporate bond liquidity. The results indicate that a positive relationship exists between firm-level sentiment and corporate bond liquidity. Additionally, the results indicate that negative sentiment has a greater effect on liquidity than positive sentiment. The results also indicate that when sentiment from Twitter and news stories carries the same emotion, rather than one being positive and one being negative, the effect is stronger. The results also indicate that liquidity is affected by the sentiment from Twitter feed and news stories and not the actual number of Tweets and news stories.
abstract: I evaluate the effect of firm-level investor sentiment derived from Twitter feed and news stories on a firm’s bond liquidity. I employ an ordinary least squares regression to examine the relationship between firm-level investor sentiment and corporate bond liquidity. The results indicate that a positive relationship exists between firm-level sentiment and corporate bond liquidity. Additionally, the results indicate that negative sentiment has a greater effect on liquidity than positive sentiment. The results also indicate that when sentiment from Twitter and news stories carries the same emotion, rather than one being positive and one being negative, the effect is stronger. The results also indicate that liquidity is affected by the sentiment from Twitter feed and news stories and not the actual number of Tweets and news stories.
author: Dixon, Dana
language: en_US
date published: 2021-07-26
date modified: 2026-07-24T01:51:30Z
provider: Creighton University
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: Creighton University

PropertyValue
property ID: Handle
value: http://hdl.handle.net/10504/133676