Das, Sanjiv Rangan, Martinez-Jerez, Francisco de Asis and Tufano, Peter (2005) e-Information: a clinical study of investor discussion and sentiment. Financial Management, 34 (3). pp. 103-137.
This is the latest version of this item.
We examine the information flow for four stocks over seven months to trace the relationship between on-line discussion, news activity, and stock price movements. On-line discussions support numerous unsubstantiated rumors, substantial on-point exchanges, and quick dissemination of imminent and recently released information. Applying language-processing routines to message board postings and news, we create sentiment and disagreement measures or "eInformation." We analyze the determinants of sentiment and disagreement, and trace links between news, eInformation, and stock returns. This intensive clinical study of on-line discussions suggests mechanisms individual investors and groups can use to analyze and digest company information.
|Keywords:||Internet Message Boards, Information dissemination, Market efficiency, Volatility|
|Date Deposited:||28 Oct 2011 08:59|
|Last Modified:||07 Oct 2015 05:45|
Available Versions of this Item
e-Information: a clinical study of investor discussion and sentiment. (deposited 28 Oct 2011 09:00)
- e-Information: a clinical study of investor discussion and sentiment. (deposited 28 Oct 2011 08:59) [Currently Displayed]
Actions (login required)