What Causes Abnormal Changes in Investor Beliefs and Asset Prices?

We empirically study sources of abnormal changes, henceforth jumps, simultaneously in investor beliefs and asset prices using 164 million tweets from a social media investing platform, StockTwits. Before the COVID-19 pandemic, we find that on average 4.88% (7.88%) jumps in asset prices (investor beliefs) caused by peer-effect component, 21.42% (19.36%) by exogenous component, and 73.70% (72.76%) by momentum-effect (prior-beliefs) component. Due to the COVID-19 pandemic, there is a 4.88\% (5.27%) decline in peer-effect component, a 10.93% (3.26%) decline in exogenous component and a 15.81% (8.52%) increase in momentum-effect (prior-beliefs) component in asset prices (investor beliefs), implying that: (i) market efficiency is not static, and; (ii) greater investor underreaction when there is greater information uncertainty.