This paper examines the impact of firm-specific sentiment extracted from Twitter messages on the stock return volatility of US Travel & Leisure stocks. To this end, linear and nonlinear impulse response functions are estimated based on local projection techniques. We find that the return volatility of US Travel & Leisure firms increases in response to twitter messages in the short-term, particularly during periods of high uncertainty. Positive tweets have a stronger effect on stock return volatility than negative tweets, reflecting that positive Twitter sentiment has a clear incentive effect on retail investors in the US Travel & Leisure industry.
