Earticle

초록

영어

There has been interest in the literature on whether investor sentiment as expressed in messages posted on Internet message boards has predictive power for stock returns. To study this issue, we use more than 32 million messages on 91 firms posted on the Yahoo! Finance message board in the period January 2005 to December 2010. What distinguishes our study is the use of sentiment information explicitly revealed by retail investors for individual firms and a longer sample period relative to other studies that use similar sentiment information source. As a proxy for investor sentiment, we use investor sentiment indexes constructed from sentiment explicitly revealed by retail investors and as classified by a machine learning classification algorithm. In intertemporal and cross-sectional regression analyses, we find no evidence that investor sentiment forecasts future stock returns at either the aggregate or individual firm level. Rather, we find evidence that investor sentiment is positively affected by prior stock price performance. We also find no evidence that investor sentiment from Internet postings has predictability for volatility and trading volume. We find no significant predictive ability for retail investor sentiment for the direction of the next period’s stock price movement across demographic characteristics such as gender, age, and professionality.

목차

Abstract
 1. Introduction
 2. Message Board Data
  2.1 Basic Characteristics of the Data
  2.2 Naïve Bayes Classification Algorithm
  2.3 Measures of Investor Sentiment from Message Board Data
  2.4 Basic Characteristics of Sentiment Measures
 3. Intertemporal Predictability of Investor Sentiment for Stock Returns
  3.1. At the Aggregate Level
  3.2. At the Individual Stock Level
 4. Cross-Sectional Predictability of Investor Sentiment for Stock Returns
  4.1. Cross-Sectional Relations Between Investor Sentiment and Stock Returns
  4.2. Return and Earnings Predictability Around Earnings Announcements
 5. Volatility, Trading Volume, and Investor Sentiment
 6. Predictability for Stock Returns Across Retail Investors’ Demographic Characteristics
 7. Conclusion
 References
 Table
 Figure
 Appendix

키워드

저자

• Dongcheol Kim [ Korea University Business School ]
• Soon-Ho Kim [ Korea University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330