Einformation: A Clinical Study of Investor Discussion and Sentiment

35 Pages Posted: 22 Nov 2005

See all articles by Sanjiv Ranjan Das

Sanjiv Ranjan Das

Santa Clara University - Leavey School of Business

Francisco de Asis Martinez-Jerez

Cornell University; Cornell SC Johnson College of Business

Peter Tufano

Harvard Business School; Salata Institute for Climate and Sustainability

Abstract

We examine the information flow for four stocks over seven months to trace the relationship between on-line discussion, news activity, and stock price movements. On-line discussions support numerous unsubstantiated rumors, substantial on-point exchanges, and quick dissemination of imminent and recently released information. Applying language-processing routines to message board postings and news, we create sentiment and disagreement measures or eInformation. We analyze the determinants of sentiment and disagreement, and trace links between news, eInformation, and stock returns. This intensive clinical study of on-line discussions suggests mechanisms individual investors and groups can use to analyze and digest company information.

Suggested Citation

Das, Sanjiv Ranjan and Martinez-Jerez, Francisco de Asis and Tufano, Peter, Einformation: A Clinical Study of Investor Discussion and Sentiment. Financial Management, Vol. 34, No. 3, pp. 103-137, Autumn 2005, Available at SSRN: https://ssrn.com/abstract=853444

Sanjiv Ranjan Das

Santa Clara University - Leavey School of Business ( email )

Department of Finance
316M Lucas Hall
Santa Clara, CA 95053
United States

HOME PAGE: http://srdas.github.io/

Francisco de Asis Martinez-Jerez

Cornell University ( email )

Ithaca, NY 14853
United States

Cornell SC Johnson College of Business ( email )

Ithaca, NY 14850
United States

Peter Tufano (Contact Author)

Harvard Business School ( email )

Soldiers Field Road
Morgan Hall 131
Boston, MA 02163
United States

Salata Institute for Climate and Sustainability

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