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

Martinez-Jerez, Francisco de Asis, Tufano, Peter and Das, Sanjiv Rangan (2004) e-Information: a clinical study of investor discussion and sentiment. In: Working paper.

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In this clinical study, 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 are characterized by numerous unsubstantiated rumors, substantial on-point
exchanges and quick dissemination of imminent and recently-released information. An interview
with a frequent poster reveals the benefits and costs he perceived from his participation in on-line
discussions. Using various language processing routines, we create sentiment and disagreement
measures based on the comments posted on the message boards. We combine this “e-
Information” with other components of the traditional information set to characterize public
information flow. We analyze the determinants of sentiment and disagreement, and trace links
between news, e-Information and stock returns. This intensive clinical study of on-line
discussions suggests mechanisms whereby individual investors and groups analyze and digest
company information.

Item Type: Conference or Workshop Item (Paper)
Keywords: Internet Message Boards, Information dissemination, Market efficiency, Volatility
Date Deposited: 28 Oct 2011 09:00
Last Modified: 07 Oct 2015 05:45
URI: http://eureka.sbs.ox.ac.uk/id/eprint/945

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