Internet Stock Message Boards and Stock Returns
نویسندگان
چکیده
During 1999-2001 more than 35 million messages about public firms were posted on Yahoo! Finance. This paper examines whether stocks with high posting levels also have unusual subsequent returns and/or risk. They do. Stocks with the highest level of posting have unusually high realized volatility and unusually poor subsequent returns. This remains true after accounting for the effects of the market, firm size, value, momentum and liquidity factors. Consideration is given to market manipulation, differences of opinion, and anxiety reduction as possible explanations for the observed patterns. (JEL: G12, G14)
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