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Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

Werner Antweiler and Murray Z. Frank
The Journal of Finance
Vol. 59, No. 3 (Jun., 2004), pp. 1259-1294
Published by: Wiley for the American Finance Association
Stable URL: http://www.jstor.org/stable/3694736
Page Count: 36
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Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
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Abstract

Financial press reports claim that Internet stock message boards can move markets. We study the effect of more than 1.5 million messages posted on Yahoo! Finance and Raging Bull about the 45 companies in the Dow Jones Industrial Average and the Dow Jones Internet Index. Bullishness is measured using computational linguistics methods. Wall Street Journal news stories are used as controls. We find that stock messages help predict market volatility. Their effect on stock returns is statistically significant but economically small. Consistent with Harris and Raviv (1993), disagreement among the posted messages is associated with increased trading volume.

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