Thai Ton , Henry Leung , Yang Gao , Dirk Schiereck
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引用次数: 0
Abstract
We study the informativeness of the sentiment of posts on Australia's largest online stock message board, HotCopper. We explore whether disagreements among sentiment form a signal about the fundamental news of a company. We find that positive sentiment is associated with noise induced (uniformed) trading whereas negative sentiment contains value-relevant information about a firm's performance. Our empirical findings suggest that short selling activity reduces overreactions of abnormal returns in a noisy environment on the same day. Furthermore, we observe a sentiment convergence pattern around annual earnings announcements and low levels of sentiment homogeneity relate to significantly lower annual earnings surprise. This supports the view that disagreements among sentiments are a signal of bad news about firm fundamentals.
期刊介绍：
The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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