The effect of corporate Twitter, Instagram and YouTube activity on investor attention and market liquidity

Using daily-level data on corporate social media activity, we show that investor attention generally increases when firms post on Twitter, Instagram and YouTube and that the effect is stronger during earnings announcement periods. We find that stock market liquidity improves when firms post on social media, but the effects are the most consistent for Twitter. Finally, we document that when firms miss earnings, they post more on social media if the magnitude of the bad news is small but remain silent when the magnitude is large. This strategic behaviour is prevalent across all three social media platforms.