Before revision:  Specifically, a standard deviation increase in excitement is associated with an 8.9 basis points lower announcement return, which translates into an approximately 7.2 \% annualized loss . Motivated by this finding, I then construct a zero-cost portfolio leveraging social media emotions and opinions around earnings announcements, and show performance exceeding the market by a factor of 1.75 over the decade .
After revision:  Specifically, a standard deviation increase in excitement is associated with an 8.9 basis points lower announcement return, which translates into an approximately 7.2 \% annualized loss .