THE INVESTMENT VALUE OF CONSUMER EXPERIENCES: EVIDENCE FROM U.S. AIRLINE INDUSTRY

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.