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Why don't we agree? evidence from a social network of ...

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By ja cookson · 2016 · cited by 112 — hand classify individual trader messages on an internet message board. from reading the unclassified messages, it is clear that most of them are quite ... 68 pages
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Why Don’t We Agree? Evidence from a Social Network ofInvestors⇤J. Anthony Cookson† and Marina Niessner‡September 9, 2016AbstractWe study the sources of investor disagreement using sentiment expressed by in-vestors on a social media investing platform, combined with information on the users’investment approaches (e.g., technical, fundamental). We examine how much of overalldisagreement is driven by different information sets versus different investment mod-els, by studying disagreement within and across investment approaches. We find thatdifferences of opinion across investment approaches account for 47.7% of the overalldisagreement at the firm-day level. Moreover, changes in our measures of disagree-ment robustly forecast abnormal trading volume, suggesting that our measures proxywell for disagreement in the wider market. Our findings suggest that improvementsto informational efficiency of financial markets will not completely erode high tradingvolume and stock market volatility.⇤ We a...
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