Location of Repository

Is All That Talk Just Noise ? The Information Content of Internet Stock Message Boards

By Werner Antweiler and Murray Z. Frank

Abstract

Financial press reports claim that internet stock message boards can move markets. We study the effect of more than 1.5 million messages posted on Yahoo! Finance and Raging Bull about the 45 companies in the Dow Jones Industrial Average, and the Dow Jones Internet Index. The bullishness of the messages is measured using computational linguistics methods. News stories reported in the Wall Street Journal are used as controls. We find significant evidence that the stock messages help predict market volatility, but not stock returns. Consistent with Harris and Raviv (1993), agreement among the posted messages is associated with decreased trading volume. (JEL: G12, G14

Topics: Volatility, Trading Volume, Internet Message Boards
Year: 2004
OAI identifier: oai:CiteSeerX.psu:10.1.1.195.9168
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.rotman.utoronto.ca/... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.