The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds

The authors show that sentiment of Tweets related to FOMC meeting results can provide information for market returns.  They use a polarity of positive or negative when tweets are made about FOMC, Bernanke, Federal Reserve, or Yellen, and create a regression to show that positive or negative sentiment can provide significant betas, even when controlling for the Fama-French value, size, and momentum factors.  They then use these sentiment indicators to backtest a strategy, and show that using the sentiment of tweets related to FMOC meetings can outperform the market, especially a strategy that only modifies from the market portfolio on FOMC meeting days.


AZAR, P. D., & LO, A. W. (2016). The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds. Journal of Portfolio Management, 42(5), 123–134.