Does information uncertainty moderate the impact of investors' emotion on stock prices?

Fang-Ming Hsu, Chien-Ho Liao
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引用次数: 2

Abstract

Prior studies point out information uncertainty (IU) of a stock comes from investors' overconfidence. However, overconfidence is hard to be measured. After our collections and reviews of prior studies regarding IU, we propose stock returns are affected by investors' sentiment, and this relation is moderated by IU. We use SentimentAnalyzer system, a text mining technology, to analyze the posts in a stock forum on The Motley Fool financial website to investigate the psychology of investors, and verify our hypotheses by structural equation modeling (SEM) in weekly, monthly and quarterly intervals. Our findings demonstrate that investors' sentiment positively affects the stock returns only in short-term (weekly) interval, and this relation is also affected by IU in short time. Therefore, we proposed two suggestions. In buyer side, the investors who prefer high risks and returns can choose stocks with high IU (small company size or higher volatility in prices and volumes) and good reviews in forums as their targets in next week, and avoid the stocks with bad reviews. In contrast, in seller side, investors can choose the stocks with bad reviews as their next-week targets, too.
信息不确定性是否会缓和投资者情绪对股价的影响?
以往的研究指出,股票的信息不确定性来源于投资者的过度自信。然而,过度自信是很难衡量的。在我们收集和回顾了关于IU的先前研究之后,我们提出股票收益受到投资者情绪的影响,并且这种关系受到IU的调节。本文利用SentimentAnalyzer系统这一文本挖掘技术,对金融网站the Motley Fool上某股票论坛的帖子进行分析,考察投资者的心理,并以周、月、季度为间隔,采用结构方程模型(SEM)对假设进行验证。我们的研究结果表明,投资者情绪仅在短期(周)间隔内对股票收益产生正向影响,并且这种关系在短期内也受到IU的影响。因此,我们提出两点建议。买方方面,偏好高风险和高回报的投资者可以选择IU高(公司规模小或价格和成交量波动较大)和论坛评价好的股票作为下周的目标,避开评价差的股票。相反,在卖方方面,投资者也可以选择评价差的股票作为下周的目标。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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