How are social and mass media different in relation to the stock market? A study on topic coverage and predictive value

•This paper compares social media with mass media in relation to the stock market.•Social media covers less stocks than mass media.•This effect is amplified as the volume of media information increases.•Mass media is more predictive than social media in a one-day horizon.•It is the other way around in a two-to five-day horizon.