eInformation: A Clinical Study of Investor Discussion and Sentiment
追踪四只股票七个月的在线讨论、新闻与股价关系，发现讨论传播谣言和即时信息，通过语言处理构建情绪与分歧指标，分析其决定因素及与新闻、股票回报的关联。
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.