What does investors’ online divergence of opinion tell us about stock returns and trading volume?

Al Nasseri, Alya and Menla Ali, Faek (2018) What does investors’ online divergence of opinion tell us about stock returns and trading volume? Journal of Business Research, 86. pp. 166-178. ISSN 0148-2963

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Abstract

We analyse 289,443 online tweets from StockTwits and construct a divergence of opinion (disagreement) indicator for investigating the impact of disagreement on stock returns and trading volume. We find that the impact of disagreement on returns is asymmetric; it is negative (positive) during bull (bear) market periods. We also find that higher online disagreement increases trading volume; this effect is detected irrespective of whether the market is bullish or bearish. Moreover, portfolio strategies that are designed on the basis of our disagreement indicator are shown to generate abnormal profits. Overall, our results confirm the important role of belief dispersion in financial markets.

Item Type: Article
Keywords: Disagreement, Online tweets, Stock returns, Trading volume
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences
H Social Sciences > H Social Sciences (General)
Depositing User: Yvonne Barnes
Date Deposited: 09 Jan 2018 11:35
Last Modified: 16 Apr 2018 11:00
URI: http://sro.sussex.ac.uk/id/eprint/72678

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