A Returns Analysis on StockTwits Sentiment Metrics

This paper discusses the analysis of a Returns Study done on US Equities using social media sentiment factors from Social Market Analytics (SMA) in a single factor trading model environment. In a comparison to a market reference on a long only strategy, the results indicate an outperformance in returns for positive sentiment stocks and an underperformance for negative sentiment stocks. The long short strategy outperforms the market reference consistently over multiple testing periods.