Faek Menla Ali_Accepted at 05_Jan_2018.pdf (1.07 MB)
What does investors’ online divergence of opinion tell us about stock returns and trading volume?
journal contribution
posted on 2023-06-09, 09:40 authored by Alya Al Nasseri, Faek Menla AliFaek Menla AliWe 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.
History
Publication status
- Published
File Version
- Accepted version
Journal
Journal of Business ResearchISSN
0148-2963Publisher
ElsevierExternal DOI
Volume
86Page range
166-178Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2018-01-09First Open Access (FOA) Date
2019-08-07First Compliant Deposit (FCD) Date
2018-01-08Usage metrics
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