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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?

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journal contribution
posted on 2023-06-09, 09:40 authored by Alya Al Nasseri, Faek Menla AliFaek Menla Ali
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.

History

Publication status

  • Published

File Version

  • Accepted version

Journal

Journal of Business Research

ISSN

0148-2963

Publisher

Elsevier

Volume

86

Page range

166-178

Department affiliated with

  • Accounting and Finance Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2018-01-09

First Open Access (FOA) Date

2019-08-07

First Compliant Deposit (FCD) Date

2018-01-08

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