Why Don't We Agree? Evidence from a Social Network of Investors

81 Pages Posted: 26 Mar 2016 Last revised: 10 Mar 2020

See all articles by J. Anthony Cookson

J. Anthony Cookson

University of Colorado at Boulder - Leeds School of Business

Marina Niessner

Yale School of Management; AQR Capital Management, LLC

Date Written: March 6, 2019

Abstract

We study sources of investor disagreement using sentiment of investors from a social media investing platform, combined with information on the users' investment approaches (e.g., technical, fundamental). We examine how much of overall disagreement is driven by different information sets versus differential interpretation of information by studying disagreement within and across investment approaches. Overall disagreement is evenly split between both sources of disagreement, but within-group disagreement is more tightly related to trading volume than cross-group disagreement. Although both sources of disagreement are important, our findings suggest that information differences are more important for trading than differences across market approaches.

Suggested Citation

Cookson, J. Anthony and Niessner, Marina, Why Don't We Agree? Evidence from a Social Network of Investors (March 6, 2019). Journal of Finance, 75 (1), February 2020, pp. 173-228., Available at SSRN: https://ssrn.com/abstract=2754086 or http://dx.doi.org/10.2139/ssrn.2754086

J. Anthony Cookson

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

Marina Niessner (Contact Author)

Yale School of Management ( email )

165 Whitney Ave
New Haven, CT 06511

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

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