What Does Investors' Online Divergence of Opinion Tell Us about Stock Returns and Trading Volume?

Download or read book What Does Investors' Online Divergence of Opinion Tell Us about Stock Returns and Trading Volume? written by Alya Al-Nasseri and published by . This book was released on 2018 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse 289,443 online tweets from StockTwits and construct a divergence of opinion (disagreement) indicator for investigating the impact of disagreement on stock returns and trading volume. We find that the impact of disagreement on returns is asymmetric; it is negative (positive) during bull (bear) market periods. We also find that higher online disagreement increases trading volume; this effect is detected irrespective of whether the market is bullish or bearish. Moreover, portfolio strategies that are designed on the basis of our disagreement indicator are shown to generate abnormal profits. Overall, our results confirm the important role of belief dispersion in financial markets.