Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

Journal of Finance - Tập 59 Số 3 - Trang 1259-1294 - 2004
Werner Antweiler, Murray Z. Frank1,2,3,4,5,6,7,8,9
1Alan Kraus
2Both authors are at the Sauder School of Business, University of British Columbia. We would like to thank Richard Arnott
3Elizabeth Demers
4Jack Cooney
5Jacob Sagi
6John Ries
7Rick Green
8an anonymous referee
9and the seminar audiences at UBC, the University of Toronto, the 2002 Canadian Economics Association, the Nasdaq-Yale-JFM conference, the 2002 Northern Finance Association, and the 2002 American Finance Association annual meetings for helpful comments. We thank the SSHRC (501-2001-0034) for financial support. The second author thanks the B. I. Ghert Family Foundation for financial support. All errors are ours.

Tóm tắt

ABSTRACTFinancial press reports claim that Internet stock message boards can move markets. We study the effect of more than 1.5 million messages posted on Yahoo! Finance and Raging Bull about the 45 companies in the Dow Jones Industrial Average and the Dow Jones Internet Index. Bullishness is measured using computational linguistics methods. Wall Street Journal news stories are used as controls. We find that stock messages help predict market volatility. Their effect on stock returns is statistically significant but economically small. Consistent with Harris and Raviv (1993), disagreement among the posted messages is associated with increased trading volume.

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Journal of Finance

Tập 59 Số 3

1259-1294

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