کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10437663 | 912321 | 2014 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Investor sentiment from internet message postings and the predictability of stock returns
ترجمه فارسی عنوان
احساسات سرمایه گذار از ارسال پیام های اینترنتی و پیش بینی بازده سهام
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
By using an extensive dataset of more than 32 million messages on 91 firms posted on the Yahoo! Finance message board over the period January 2005 to December 2010, we examine whether investor sentiment as expressed in posted messages has predictive power for stock returns, volatility, and trading volume. In intertemporal and cross-sectional regression analyses, we find no evidence that investor sentiment forecasts future stock returns either at the aggregate or at the individual firm level. Rather, we find evidence that investor sentiment is positively affected by prior stock price performance. We also find no significant evidence that investor sentiment from Internet postings has predictive power for volatility and trading volume. A distinctive feature of our study is the use of sentiment information explicitly revealed by retail investors as well as classified by a machine learning classification algorithm and a much longer sample period relative to prior studies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 107, Part B, November 2014, Pages 708-729
Journal: Journal of Economic Behavior & Organization - Volume 107, Part B, November 2014, Pages 708-729
نویسندگان
Soon-Ho Kim, Dongcheol Kim,