Agreeing to disagree: Informativeness of sentiments in internet message boards

Thai Ton, Henry Leung, Yang Gao and Dirk Schiereck

Pacific-Basin Finance Journal, 2024, vol. 87, issue C

Abstract: We study the informativeness of the sentiment of posts on Australia's largest online stock message board, HotCopper. We explore whether disagreements among sentiment form a signal about the fundamental news of a company. We find that positive sentiment is associated with noise induced (uniformed) trading whereas negative sentiment contains value-relevant information about a firm's performance. Our empirical findings suggest that short selling activity reduces overreactions of abnormal returns in a noisy environment on the same day. Furthermore, we observe a sentiment convergence pattern around annual earnings announcements and low levels of sentiment homogeneity relate to significantly lower annual earnings surprise. This supports the view that disagreements among sentiments are a signal of bad news about firm fundamentals.

Keywords: Financial innovation; Internet message boards; Sentiments; Agreements; Volatility (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Agreeing to Disagree: Informativeness of Sentiments in Internet Message Boards (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002373

DOI: 10.1016/j.pacfin.2024.102485

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