The impact of live streaming on stock returns in the Brazilian market

ABSTRACT The objective of this study was to investigate whether voluntary financial disclosure through live streaming can determine changes in shareholder returns in the Brazilian market. Corporate disclosure through social media is a new phenomenon, driven by the impacts of the coronavirus disease 2019 (COVID-19) pandemic, and its effects are investigated from the perspective that high levels of investor attention are associated with company engagement with audiences. The findings contribute to the literature on investor and firm behavior with respect to disclosure in non-traditional settings. The work is also relevant because it uses web scraping to process unstructured texts. The study provides elements for the development of voluntary disclosure theory, free of intermediaries and closer to retail investors. The traditional event study technique was used, based on live streaming data obtained through web scraping and text mining. The multivariate regression model was used for additional tests. It was found that live streaming have a positive impact on stock prices, although these effects are volatile and tend to return to previous averages within 5 days. Additional analyses also revealed that the greater the number of subscribers to the channel, if the Chief Executive Officer (CEO) participates, if the topic involves the discussion of results, and if the company is not listed in the Bovespa index (Ibovespa), the greater the chances of the content of the live streaming having an abnormal impact. RESUMO O objetivo deste estudo foi examinar se a divulgação financeira voluntária por meio de lives pode determinar mudanças sobre o retorno acionário no mercado brasileiro. A divulgação corporativa por meio de redes sociais é um fenômeno novo, impulsionado pelos impactos da pandemia da doença do coronavírus 2019 (covid-19), cujos efeitos são investigados a partir da perspectiva de que altos níveis de atenção do investidor estão associados ao envolvimento das empresas com a audiência. Os achados contribuem para a literatura sobre o comportamento do investidor e de empresas ante as divulgações em ambientes não tradicionais. O trabalho é igualmente relevante por utilizar a web scraping para processar textos não estruturados. O estudo fornece elementos para o desenvolvimento da teoria da divulgação voluntária, livre de intermediários e mais próximo do investidor de varejo. Foi utilizada a tradicional técnica de estudo de eventos a partir de dados sobre as lives obti