Al Nasseri, Alya and Menla Ali, Faek (2018) What does investors’ online divergence of opinion tell us about stock returns and trading volume? Journal of Business Research, 86. pp. 166-178. ISSN 0148-2963
![]() |
PDF
- Accepted Version
Restricted to SRO admin only until 7 August 2019. Available under License Creative Commons Attribution-NonCommercial No Derivatives. Download (1MB) |
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.
Item Type: | Article |
---|---|
Keywords: | Disagreement, Online tweets, Stock returns, Trading volume |
Schools and Departments: | School of Business, Management and Economics > Business and Management |
Subjects: | H Social Sciences H Social Sciences > H Social Sciences (General) |
Depositing User: | Yvonne Barnes |
Date Deposited: | 09 Jan 2018 11:35 |
Last Modified: | 23 Apr 2018 12:02 |
URI: | http://srodev.sussex.ac.uk/id/eprint/72678 |
View download statistics for this item
📧 Request an update