Investor sentiment from internet message postings and the predictability of stock returns
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Soon-Ho | - |
dc.contributor.author | Kim, Dongcheol | - |
dc.date.accessioned | 2021-09-05T03:20:52Z | - |
dc.date.available | 2021-09-05T03:20:52Z | - |
dc.date.created | 2021-06-15 | - |
dc.date.issued | 2014-11 | - |
dc.identifier.issn | 0167-2681 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/96865 | - |
dc.description.abstract | By using an extensive dataset of more than 32 million messages on 91 firms posted on the Yahoo! Finance message board over the period January 2005 to December 2010, we examine whether investor sentiment as expressed in posted messages has predictive power for stock returns, volatility, and trading volume. In intertemporal and cross-sectional regression analyses, we find no evidence that investor sentiment forecasts future stock returns either at the aggregate or at the individual firm level. Rather, we find evidence that investor sentiment is positively affected by prior stock price performance. We also find no significant evidence that investor sentiment from Internet postings has predictive power for volatility and trading volume. A distinctive feature of our study is the use of sentiment information explicitly revealed by retail investors as well as classified by a machine learning classification algorithm and a much longer sample period relative to prior studies. (C) 2014 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER | - |
dc.subject | VOLATILITY | - |
dc.subject | NOISE | - |
dc.subject | MODEL | - |
dc.subject | TALK | - |
dc.subject | RISK | - |
dc.subject | NEWS | - |
dc.title | Investor sentiment from internet message postings and the predictability of stock returns | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Dongcheol | - |
dc.identifier.doi | 10.1016/j.jebo.2014.04.015 | - |
dc.identifier.scopusid | 2-s2.0-85027957933 | - |
dc.identifier.wosid | 000347599200019 | - |
dc.identifier.bibliographicCitation | JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, v.107, pp.708 - 729 | - |
dc.relation.isPartOf | JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | - |
dc.citation.title | JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | - |
dc.citation.volume | 107 | - |
dc.citation.startPage | 708 | - |
dc.citation.endPage | 729 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | NOISE | - |
dc.subject.keywordPlus | MODEL | - |
dc.subject.keywordPlus | TALK | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | NEWS | - |
dc.subject.keywordAuthor | Investor sentiment | - |
dc.subject.keywordAuthor | Return predictability | - |
dc.subject.keywordAuthor | Internet posting messages | - |
dc.subject.keywordAuthor | Text classification | - |
dc.subject.keywordAuthor | Volatility | - |
dc.subject.keywordAuthor | Trading volume | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.