同意不同意:互联网留言板情绪的信息量

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE
Thai Ton , Henry Leung , Yang Gao , Dirk Schiereck
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引用次数: 0

摘要

我们研究了澳大利亚最大的在线股票留言板 HotCopper 上帖子情绪的信息量。我们探讨了情绪之间的分歧是否会形成有关公司基本面消息的信号。我们发现,积极情绪与噪音诱导(统一)交易有关,而消极情绪则包含与公司业绩价值相关的信息。我们的实证研究结果表明,卖空活动可减少当日噪声环境下异常回报的过度反应。此外,我们观察到年度收益公告前后的情绪趋同模式,低水平的情绪同质性与显著降低的年度收益意外有关。这支持了一种观点,即情绪之间的分歧是公司基本面坏消息的信号。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Agreeing to disagree: Informativeness of sentiments in internet message boards

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.

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来源期刊
Pacific-Basin Finance Journal
Pacific-Basin Finance Journal BUSINESS, FINANCE-
CiteScore
6.80
自引率
6.50%
发文量
157
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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