Investor Disagreement, Disclosure Processing Costs, and Trading Volume Evidence from Social Media
利用StockTwits社交媒体的帖子，研究投资者分歧和披露处理成本如何影响盈余公告前后的交易量，发现分歧增加与交易量正相关，且披露处理成本越低，这种效应越强。
ABSTRACT We use posts on the investor-focused StockTwits social media network to generate new insights regarding investor disagreement, disclosure processing costs, and trading volume around earnings announcements. Using social media-based measures of disagreement, we find that both preannouncement disagreement and increases in disagreement around an earnings announcement are positively associated with trading volume. Drawing upon the disclosure processing costs literature, we provide evidence that the effects of disagreement increase when disclosure processing costs are lower. Our social media measures of disagreement remain significant after including traditional analyst earnings estimate measures of disagreement in the model. Our study provides new evidence on the importance of disclosure processing costs and is consistent with lower disclosure processing costs amplifying both the resolution of preannouncement disagreement and new disagreement about earnings information. Data Availability All data are available from the sources described in the text.