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What does investors' online divergence of opinion tell us about stock returns and trading volume?

Alya Al-Nasseri and Faek Menla Ali

Journal of Business Research, 2018, vol. 86, issue C, 166-178

Abstract: 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.

Keywords: Disagreement; Online tweets; Stock returns; Trading volume (search for similar items in EconPapers)
JEL-codes: C21 G02 G14 (search for similar items in EconPapers)
Date: 2018
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