Local information advantage and stock returns: Evidence from social media
利用股票留言板数据，发现本地投资者与非本地投资者的异常发帖量能预测公司短期股票收益及同城同行收益，表明社交媒体互动包含基于地理位置的私有信息。
Abstract We examine the information asymmetry between local and nonlocal investors with a large dataset of stock message board postings. We document that abnormal relative postings of a firm, that is, unusual changes in the volume of postings from local versus nonlocal investors, capture locals' information advantage. This measure positively predicts firms' short‐term stock returns as well as those of peer firms in the same city. Sentiment analysis shows that posting activities primarily reflect good news, potentially due to social transmission bias and short‐sales constraints. We identify the information driving return predictability through content‐based analysis. Abnormal relative postings also lead analysts' forecast revisions. Overall, investors' interactions on social media contain valuable geography‐based private information.