Investor Disagreement: Daily Measures from Social Media

Abstract

Disagreement is pervasive in financial markets. This paper highlights the properties of daily disagreement and daily attention measures derived from the investor social network StockTwits. Daily disagreement and trading volume are strongly related to one another, both in the sample used in Cookson and Niessner (2020) and out of sample through 2021. Disagreement among investors using different investment strategies as well as within them each relate to trading volume, but within-strategy disagreement exhibits a stronger relationship. These findings all hold after controlling for attention, which is also positively related to daily trading volume.

Keywords: Disagreement, Social Media, Social Finance, FinTech

JEL Classification: G12, G40