| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7425512 | Journal of Business Research | 2018 | 13 Pages |
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.
Related Topics
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Business and International Management
Authors
Alya Al-Nasseri, Faek Menla Ali,