The Aggregate of Earnings and Announcement Returns with the Help of Twitter Using "Wisdom of Crowds" Theory and "Macro Accounting" Theory: Evidence from NYSE and Nasdaq

This study aims to predict the aggregate of earnings and announcement returns with the help of this purpose, by a selection of Twitter social media as a media approved by the US Stock Exchange and Securities Organization, data related to 345 companies selected from the list of top 500 companies in the United States, for the four years 2016-2019 (Market participant tweets about sample companies from October 2015 to March 2020), extracted and used Was analyzed from Stata software. The results showed that the volume of earnings news published by companies on Twitter could predict earnings surprises, and the content of earnings news published by companies on Twitter can predict earnings surprises. The results also showed that the volume of earning news published by companies on Twitter could predict announcement returns and the content of earning news published by companies on Twitter can predict announcement returns. The results can also be considered a strategy in content analysis of market-quality news based on a list of specialized financial words.