e-Information: a clinical study of investor discussion and sentiment

Das, Sanjiv Rangan, Martinez-Jerez, Francisco de Asis and Tufano, Peter (2005) e-Information: a clinical study of investor discussion and sentiment. Financial Management (USA), 34 (3). pp. 103-137.

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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.

Item Type: Article
Keywords: Internet Message Boards, Information dissemination, Market efficiency, Volatility
Date Deposited: 28 Oct 2011 08:59
Last Modified: 18 Sep 2018 15:14
URI: http://eureka.sbs.ox.ac.uk/id/eprint/1305

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