Paper Title
The Asymmetric Stock Message Board Effect
Abstract
As the first research to address the asymmetric effect of message board discussion, this paper has three key findings. First, message board discussion has a significant and positive impact on small stocks� abnormal returns, regardless of news arrival. More interestingly, this asymmetric effect becomes stronger with small stocks on no news days. For large stocks, there is a small abnormal return on news day and no abnormal return on no news day. Finally, online talks help predict the presence of material news regardless of firm size, although a stronger predictive power on news occurrence is found for small stocks. Our results are robust and suggesting online talks� impact on stock market is significant and asymmetric.
Index Terms� Stock Message Board, Online Trading, Investor Sentiment, Computational Linguistics.