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Sentiment Momentum: Using Moving Averages of Sentiment for Daily Returns
Every trading day millions of posts, comments, and replies about individual stocks flood platforms like X (formerly Twitter), Stocktwits, Reddit and financial blogs. For most of market history, this outpouring of opinion was dismissed as noise, but it’s now one of the most closely watched alternative data sources on Wall Street.
This is because when sentiment around a stock shifts, either in message volume, tone, or both, prices tend to follow. This post explores the mechanics of daily social media sentiment measured against weekly, monthly, and longer-term sentiment averages as a predictor of next-day stock returns.
