Information or noise? Executive social media engagement and capital market pricing efficiency

This study examines how executive social media engagement affects capital market pricing efficiency. We argue that executive social media operates as a dual-purpose channel that simultaneously embodies an information effect, through which it alleviates information asymmetry and accelerates the incorporation of firm-specific information into stock prices, and a lemons effect, through which the informality and unstructured nature of social media content may amplify noise and distort investor judgment. Whether executive social media engagement enhances or impairs pricing efficiency is therefore an empirical question. Using manually collected data on senior executives' Sina Weibo activities for Chinese A-share listed firms over the period 2018 to 2023, we find that executive social media engagement significantly reduces stock price synchronicity, indicating that the information effect dominates the lemons effect on average. The synchronicity-reducing effect is more pronounced when executive posts contain higher proportions of personalised content, stronger negative sentiment, greater textual length, more forward-looking information, and greater follower engagement. Heterogeneity tests further reveal that the effect strengthens when executives' pay-performance sensitivity is higher and weakens when firms face higher external financing demand, suggesting that the relative weight of information and noise in executive social media content varies systematically with executives' motivations for posting. The findings integrate executive-level idiosyncratic information into the determinants of pricing efficiency, extend the literature on textual information utility in corporate finance, and offer practical guidance for corporate disclosure strategy, regulatory oversight, and executive communication in the digital era.