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eInformation: A Clinical Study of Investor Discussion and Sentiment

Author

Listed:
  • Sanjiv Das
  • Asís Martínez-Jerez
  • Peter Tufano

Abstract

We examine the information flow for four stocks over seven months to trace the relationship between on-line discussion, news activity, and stock price movements. On-line discussions support numerous unsubstantiated rumors, substantial on-point exchanges, and quick dissemination of imminent and recently released information. Applying language-processing routines to message board postings and news, we create sentiment and disagreement measures or “eInformation.” We analyze the determinants of sentiment and disagreement, and trace links between news, eInformation, and stock returns. This intensive clinical study of on-line discussions suggests mechanisms individual investors and groups can use to analyze and digest company information.

Suggested Citation

  • Sanjiv Das & Asís Martínez-Jerez & Peter Tufano, 2005. "eInformation: A Clinical Study of Investor Discussion and Sentiment," Financial Management, Financial Management Association, vol. 34(3), Fall.
  • Handle: RePEc:fma:fmanag:dasmartinezjereztufano05
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    Citations

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    Cited by:

    1. Kiran Thapa, 2013. "Stock Message Board Recommendations and Share Trading Activity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 10.
    2. David Godes & Dina Mayzlin & Yubo Chen & Sanjiv Das & Chrysanthos Dellarocas & Bruce Pfeiffer & Barak Libai & Subrata Sen & Mengze Shi & Peeter Verlegh, 2005. "The Firm's Management of Social Interactions," Marketing Letters, Springer, vol. 16(3), pages 415-428, December.
    3. repec:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0056-y is not listed on IDEAS
    4. Ackert, Lucy F. & Jiang, Lei & Lee, Hoan Soo & Liu, Jie, 2016. "Influential investors in online stock forums," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 39-46.
    5. Paul Brockman & Jim Cicon, 2013. "The Information Content Of Management Earnings Forecasts: An Analysis Of Hard Versus Soft Information," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 147-174, June.

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