Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/139095
Title: THE INVESTMENT VALUE OF CONSUMER EXPERIENCES: EVIDENCE FROM U.S. AIRLINE INDUSTRY
Authors: CHEN MINXIA
Keywords: Customer Experiences, U.S. Airline Industry, Twitter, Calendar-time Portfolio, Textual Analysis, Machine Learning
Issue Date: 3-Aug-2017
Citation: CHEN MINXIA (2017-08-03). THE INVESTMENT VALUE OF CONSUMER EXPERIENCES: EVIDENCE FROM U.S. AIRLINE INDUSTRY. ScholarBank@NUS Repository.
Abstract: This paper develops a firm-level measure for consumer sentiment using Twitter data and examines the investment value of consumer experiences in the U.S. airline industry. We collect over 2 million Tweets for 45 U.S. airline firms during the sample period of January 2010 through December 2014. In order to disentangle the consumer sentiment effects from other fundamental factors such as firm size, we constrain our main analysis to six major U.S. airlines. Our results show that consumer post-experience complaints or thanks contain novel information for stock pricing. A long-short strategy that buys stocks in the top tercile of abnormal consumer sentiment and sells stocks in the bottom tercile can realize an abnormal return of up to 2.325% per month after adjusting using the Fama-French-Carhart 4-factor model. In addition, the realized abnormal return does not reverse in the subsequent year.
URI: http://scholarbank.nus.edu.sg/handle/10635/139095
Appears in Collections:Master's Theses (Open)

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