Research Of The Effectiveness Of Investment Strategies Expressed In Social Media

With the development of the concept of web2.0, social media has been related to all aspects of our life. Research on financial field, such as securities and investment is also paid more and more attention to social media data today. In this paper, taking Weibo as a representative, the effectiveness of the published investment strategy in social media, as well as the related factors will be discussed.In China, Sina Weibo is a kind of social media which is founded early and the most activity currently. The samples in this paper are the words which have a clear expression of the investment strategy and a clear description of the relevant stock in Sina Weibo from April 1,2013 to June 7,2013. And whether the excess returns of the stocks are significantly different from zero is regarded as a basis for evaluating the effectiveness of investment strategies and the effectiveness factors.In the samples, investment strategies are to evaluate the overall investment value of the stock. So the long-term return on investment will be more appropriate to be the criteria.In this article the specific metrics is the stock’s average excess return in six months and one year. Empirical results of this paper show that average excess returns of the stocks which were expected to grow or evaluated to be worth investing were significantly greater than zero, which means the related investment strategy is effective. But it is also found that the negative investment strategy remarks invalid.Further classification study for positive investment strategies found that there were some factors related to the effectiveness of positive investment strategies, including the speaker and text features, as well as the stock characteristics.Judging from the results of empirical tests, firstly, if the speaker’s nickname of micro-blog account contains words which related to stocks or equities, investment, the words’ accuracy is higher than those who contain not. On the other hand, the different kinds of account identities, such as personal certification, agency certification, micro-Bardon, membership, etc., have no significant impact on the effectiveness of investment strategies.Secondly, the reference value will be smaller if the number of the investment strategies’ text words is less than 30 words. And it will have the same conclusion if the number of investment strategies related to the same stock is more than 7 times.Also, the investment strategies are more effective if the number of stock’s outstanding shares is smaller. And the stocks with price-earnings ratio between 20 and 40 had significantly higher excess returns than those with higher or lower price-earnings ratio.