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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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