Premium
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
Author(s) -
Antweiler Werner,
Frank Murray Z.
Publication year - 2004
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.2004.00662.x
Subject(s) - the internet , stock (firearms) , volatility (finance) , stock market , business , financial market , index (typography) , financial economics , advertising , economics , finance , computer science , engineering , world wide web , history , mechanical engineering , context (archaeology) , archaeology
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. Bullishness is measured using computational linguistics methods. Wall Street Journal news stories are used as controls. We find that stock messages help predict market volatility. Their effect on stock returns is statistically significant but economically small. Consistent with Harris and Raviv (1993), disagreement among the posted messages is associated with increased trading volume.