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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. Alina Lerman, 2020. "Individual Investors' Attention to Accounting Information: Evidence from Online Financial Communities," Contemporary Accounting Research, John Wiley & Sons, vol. 37(4), pages 2020-2057, December.
    2. Liu, Peipei & Xia, Xinping & Li, Antai, 2018. "Tweeting the financial market: Media effect in the era of Big Data," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 267-290.
    3. 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.
    4. Huang, Jiekun, 2018. "The customer knows best: The investment value of consumer opinions," Journal of Financial Economics, Elsevier, vol. 128(1), pages 164-182.
    5. Kiran Thapa, 2013. "Stock Message Board Recommendations and Share Trading Activity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2013, January-A.
    6. Phan, Thi Nha Truc & Bertrand, Philippe & Phan, Hong Hai & Vo, Xuan Vinh, 2023. "The role of investor behavior in emerging stock markets: Evidence from Vietnam," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 367-376.
    7. 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.
    8. 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.
    9. Zhang, Xiaoying & Lin, Ling & Xiao, Min & Yang, Jing, 2024. "Do auditors care about what retail investors say? Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
    10. Donghua Zhou & Yujie Zhao & Philip T Lin & Bin Li & Adrian (Waikong) Cheung, 2019. "Can microblogging information disclosure reduce stock price synchronicity? Evidence from China," Australian Journal of Management, Australian School of Business, vol. 44(2), pages 282-305, May.
    11. Kim, Jong Min & Jun, Mina & Kim, Chung K., 2018. "The Effects of Culture on Consumers' Consumption and Generation of Online Reviews," Journal of Interactive Marketing, Elsevier, vol. 43(C), pages 134-150.
    12. 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, July-Dece.
    13. Qing Liu & Hosung Son, 2024. "Data selection and collection for constructing investor sentiment from social media," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-13, December.
    14. Nattapong Laksomya & John G. Powell & Suparatana Tanthanongsakkun & Sirimon Treepongkaruna, 2018. "Are Internet message boards used to facilitate stock price manipulation? Evidence from an emerging market, Thailand," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 275-309, November.
    15. Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
    16. Chen, Wenchuan & Liu, Yu & Liu, Siyi & Chen, Yugang & Zhang, Pengdong, 2024. "The governance effects of social media engagement on M&A outcomes: Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    17. Sun, Nan & Kong, Dongmin & Tao, Yunqing, 2023. "Does broadband infrastructure affect corporate mergers and acquisitions? Quasi-natural experimental evidence from China," International Review of Financial Analysis, Elsevier, vol. 85(C).
    18. Sun, Kunpeng & Wang, Dan & Xiao, Xing, 2022. "Another victory of retail investors: Social media's monitoring role on firms' earnings management," International Review of Financial Analysis, Elsevier, vol. 82(C).
    19. Minjian Ye & Guangzhong Li, 2017. "Internet big data and capital markets: a literature review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-18, December.
    20. Yingying Xu & Zhixin Liu & Jichang Zhao & Chiwei Su, 2017. "Weibo sentiments and stock return: A time-frequency view," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-21, July.
    21. Bowden, James & Gemayel, Roland, 2022. "Sentiment and trading decisions in an ambiguous environment: A study on cryptocurrency traders," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    22. Timm O. Sprenger & Andranik Tumasjan & Philipp G. Sandner & Isabell M. Welpe, 2014. "Tweets and Trades: the Information Content of Stock Microblogs," European Financial Management, European Financial Management Association, vol. 20(5), pages 926-957, November.

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