Purpose

The authors investigate the extent to which online talk can influence contemporaneous and future stock trading, especially when market news is unpresented.

Design/methodology/approach

The authors propose an improved sentiment formula incorporating online hype, neutral sentiment and poster reputation. In addition, they conduct event study, OLS regression analyses and probit models.

Findings

First, investors tend to be more talkative in relation to firms that are (1) smaller size, (2) more growth-like, (3) with lower prices and higher short interests and (4) of higher beta. Second, the bullish tone of investors positively affects the abnormal returns of small-capitalization stocks. However, online talk has little impact on large-capitalization stocks, except that more postings boost trading liquidity. Third, online talk predicts the presence of future news regardless of firm size, with stronger predictive power found for small-capitalization stocks.

Practical implications

It is of interest to practitioners and researchers to study online talk so as to better understand the trading psychology of retail investors and the effects on the stock market. Furthermore, policymakers are interested in tracking activities on stock message boards in order to prevent security fraud and protect investors' interests.

Originality/value

The results are robust and suggest that online talk has significant impacts on stock trading exploiting an information asymmetry. This study of stock message board posting activities helps researchers to understand whether message contents contain valuable and unique content compared with information available via more traditional media channels.

中文翻译：

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不对称的在线谈话效应

目的

作者调查了在线谈话可以在多大程度上影响同时期和未来的股票交易，尤其是在没有提供市场新闻的情况下。

设计/方法/方法

作者提出了一种改进的情感公式，结合了在线炒作、中性情感和海报声誉。此外，他们还进行事件研究、OLS 回归分析和概率模型。

发现

首先，对于以下公司，投资者往往更健谈：(1) 规模较小，(2) 更具成长性，(3) 价格较低且空头权益较高，以及 (4) 贝塔系数较高。其次，投资者的看涨基调正向影响小盘股的异常收益。不过，网络言论对大盘股影响不大，只是更多的帖子增加了交易流动性。第三，在线谈话预测未来新闻的存在，无论公司规模大小，对小盘股的预测能力更强。

实际影响

从业者和研究人员有兴趣研究在线谈话，以便更好地了解散户投资者的交易心理和对股市的影响。此外，政策制定者有兴趣跟踪股票留言板上的活动，以防止安全欺诈并保护投资者的利益。

原创性/价值

结果是稳健的，并表明在线谈话对利用信息不对称的股票交易有重大影响。这项对股票留言板发布活动的研究有助于研究人员了解与通过更传统媒体渠道获得的信息相比，消息内容是否包含有价值和独特的内容。