Predictive Value of Stock Message Board Sentiments

作者: Prabhudev Konana , Alex Liu , Joydeep Ghosh , Balaji Rajagopalan , Bin Gu

DOI:

关键词: Message boardPredictive valueVirtual communityFinancial economicsActuarial sciencePredictive powerBusinessTrading strategyNegatively associatedStock (geology)

摘要: Online brokerages and message board providers have introduced community stock sentiments to influence investors in their trading decisions. Community reflect the average opinions of either buy (bullish) or sell (bearish). However, it is unclear if these informational value. This paper studies predictive power over future abnormal returns. The results show that a negative but insignificant impact on returns subsequent two weeks. impacts become both statistically economically significant third week. Moreover, who correctly predicted recent movements are more negatively associated with movements. findings consistent psychological theories suggesting overreact news those happen predict past likely overreact. Based analysis, strategy involves buying stocks low while selling high was implemented. indicated weekly ranging from 0.44% 0.66%. [Note: We discovered an error coding earlier same title. abstract been updated.]

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