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

70 Pages Posted: 26 Mar 2016 Last revised: 28 Sep 2016

J. Anthony Cookson

University of Colorado at Boulder - Leeds School of Business

Marina Niessner

Yale School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: September 27, 2016

Abstract

We study the sources of investor disagreement using sentiment expressed by investors on 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 the same information, by studying disagreement within and across investment approaches. We find that differences of opinion across investment approaches account for 47.7% of the overall disagreement at the firm-day level. Moreover, changes in our measures of disagreement robustly forecast abnormal trading volume, suggesting that our measures proxy well for disagreement in the wider market. Our findings suggest that improvements to informational efficiency of financial markets by regulators will not completely erode high trading volume and stock market volatility.

Suggested Citation

Cookson, J. Anthony and Niessner, Marina, Why Don't We Agree? Evidence from a Social Network of Investors (September 27, 2016). 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 )

135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States

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