Swarm Intelligence? Stock Opinions of the Crowd and Stock Returns

48 Pages Posted: 1 Jun 2016 Last revised: 4 Mar 2019

See all articles by Bastian Breitmayer

Bastian Breitmayer

Leuphana University of Lueneburg

Filippo Massari

UNSW Business School; Financial Research Network (FIRN)

Matthias Pelster

Paderborn University

Date Written: June 21, 2017


We find that crowds' analyses of stocks, disclosed on a social trading platform, provide explanatory power for stock returns. Exploiting a novel dataset that contains more than 14.9 million individual stock assessments for 10,452 stocks over the period from August 1, 2007, to July 15, 2015, our study shows that social trading platforms add valuable information for explaining future and abnormal stock returns. We find that a portfolio based on social media opinions yields a monthly excess return of 3.3%. We provide a theoretical rationale for our findings based on the argument that the platform is subject to fewer institutional restrictions and is designed more efficiently for prediction than financial markets.

Keywords: social trading, crowd intelligence, stock returns, abnormal returns

JEL Classification: D14, G11, G23

Suggested Citation

Breitmayer, Bastian and Massari, Filippo and Pelster, Matthias, Swarm Intelligence? Stock Opinions of the Crowd and Stock Returns (June 21, 2017). Available at SSRN: https://ssrn.com/abstract=2787744 or http://dx.doi.org/10.2139/ssrn.2787744

Bastian Breitmayer

Leuphana University of Lueneburg ( email )

Scharnhorststraße 1
Wilschenbrucher Weg 69
Lüneburg, 21335

Filippo Massari

UNSW Business School ( email )

UNSW Business School
High St
Sydney, NSW 2052

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane

Matthias Pelster (Contact Author)

Paderborn University ( email )

Warburger Str. 100
Paderborn, 33098

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