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摘要
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To study how investor sentiment at the firm level affects stock returns, we match more than 58 million social media messages in China with listed firms and construct a measure of individual stock sentiment based on the tone of those messages. We document that positive investor sentiment predicts higher stock risk-adjusted returns in the very short term followed by price reversals. This association between stock sentiment and stock returns is not explained by observable stock characteristics, unobservable time-invariant characteristics, market-wide sentiment, overreaction to news, or changing investor attention. Consistent with theories of investor sentiment, we find that the link between sentiment and stock returns is mainly driven by positive sentiment and non-professional investors. Finally, exploiting a unique feature of the Chinese stock market, we are able to isolate the causal effect of sentiment on stock returns from confounding factors.
Keyword:
Investor sentiment
Stock returns
Social media
Investor attention
News sentiment
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1.9W
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Is all that talk just noise? The information content of Internet stock message boards所有的谈话只是噪音吗？互联网股票留言板的信息内容.png)
JOURNAL OF FINANCE.png)
JOURNAL OF FINANCEIF9.5
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