Where Has the Foreign Signal Gone?

Abstract

We compare the relation between sentiment noise in the Twitter feed and losses for stocks of domestic and foreign firms. The mean quarterly domestic-foreign difference in the slope of next-quarter losses on measured noise is -1.40 (Newey-West t = -2.99). This slope is negative for 78 and 48 percent of the quarters for domestic and foreign stocks, respectively (block-bootstrap p = 0.016). Thus, this relationship is temporally more stable for domestic stocks. We use a noisy rational expectations model to explain these patterns through the composition of the contributor pool. The feeds for stocks of foreign firms have higher repeat-author concentration and a larger model-implied nonfundamental component than those for domestic firms. We interpret these differences through the producer-knowledge mismatch hypothesis. For foreign firms, the English-language contributor pool underrepresents the home-market investors who tend to possess informational advantages about them. Thus, the foreign signal is not gone but diluted.

Telstar Balls Gone Wild
Thomas Fernique
arXiv15 Sep 2026PreprintCC BY 4.0Full textGeneral mathematicsarXiv
Where the character values of Sp(2m) at a torsion element fail to generate the ring of integers
Carles Marín Muñoz
Zenodo (CERN European Organization for Nuclear Research)17 Sep 2026PreprintLicence not stated5 citedMathematical physicsOpenAlex
Characterization of sets in metric spaces where the big Lipschitz derivative is infinite
Jesús Llorente, Oleksandr Maslyuchenko, Ziemowit Wójcicki
arXiv28 Oct 2026PreprintCC BY-NC-ND 4.0Full textAnalysis & PDEsarXiv
Where should we look for the deviation from quantum mechanics?
Jerome Nicolas, Albert Schwarz
arXiv17 Oct 2026PreprintCC BY 4.0Full textMathematical physics High-energy & particle physicsarXiv
Where's the beef? Institutional (de)legitimation of cultured meat in France and Italy
Cinzia Colapinto, Monica Plechero, Carlo Romano Marcello Alessandro Santagiustina
HAL10 Sep 2026PreprintCC BY-NC-ND 4.0Full textStatisticsHAL

Cite

BibTeX RIS

BibTeX

@misc{akimitsu2026where,
  title = {{Where Has the Foreign Signal Gone?}},
  author = {Piyush Akimitsu and Ulrich Hounyo},
  howpublished = {arXiv},
  year = {2026},
  month = oct,
  doi = {10.48550/arxiv.2610.28175},
  eprint = {2610.28175},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2610.28175},
}

RIS

TY  - UNPB
TI  - Where Has the Foreign Signal Gone?
AU  - Piyush Akimitsu
AU  - Ulrich Hounyo
PY  - 2026
DA  - 2026/10/20
PB  - arXiv
DO  - 10.48550/arxiv.2610.28175
UR  - https://arxiv.org/abs/2610.28175
AB  - We compare the relation between sentiment noise in the Twitter feed and losses for stocks of domestic and foreign firms. The mean quarterly domestic-foreign difference in the slope of next-quarter losses on measured noise is -1.40 (Newey-West t = -2.99). This slope is negative for 78 and 48 percent of the quarters for domestic and foreign stocks, respectively (block-bootstrap p = 0.016). Thus, this relationship is temporally more stable for domestic stocks. We use a noisy rational expectations model to explain these patterns through the composition of the contributor pool. The feeds for stocks of foreign firms have higher repeat-author concentration and a larger model-implied nonfundamental component than those for domestic firms. We interpret these differences through the producer-knowledge mismatch hypothesis. For foreign firms, the English-language contributor pool underrepresents the home-market investors who tend to possess informational advantages about them. Thus, the foreign signal is not gone but diluted.
ER  -

Abstract

Related

Cite