메뉴 건너뛰기




Volumn 59, Issue 3, 2004, Pages 1259-1294

Is all that talk just noise? The information content of Internet stock message boards

Author keywords

[No Author keywords available]

Indexed keywords


EID: 2942746458     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2004.00662.x     Document Type: Article
Times cited : (1583)

References (38)
  • 3
    • 0041620107 scopus 로고    scopus 로고
    • Modeling and forecasting realized volatility
    • University of Pennsylvania
    • Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Paul Labys, 2002, Modeling and forecasting realized volatility, Working paper, University of Pennsylvania.
    • (2002) Working Paper
    • Andersen, T.G.1    Bollerslev, T.2    Diebold, F.X.3    Labys, P.4
  • 4
    • 2942706685 scopus 로고    scopus 로고
    • The effects of opening and closing procedures on the NYSE and Nasdaq
    • NYSE and University of Georgia
    • Bacidore, Jeffrey Michael, and Marc L. Lipson, 2001, The effects of opening and closing procedures on the NYSE and Nasdaq, Working paper, NYSE and University of Georgia.
    • (2001) Working Paper
    • Bacidore, J.M.1    Lipson, M.L.2
  • 6
    • 0029704940 scopus 로고    scopus 로고
    • An empirical examination of information, differences of opinion, and trading activity
    • Bessembinder, Hendrik, Kalok Chan, and Paul J. Seguin, 1996, An empirical examination of information, differences of opinion, and trading activity, Journal of Financial Economics 40, 105-134.
    • (1996) Journal of Financial Economics , vol.40 , pp. 105-134
    • Bessembinder, H.1    Chan, K.2    Seguin, P.J.3
  • 7
    • 0036113435 scopus 로고    scopus 로고
    • Sidelined investors, trade-generated news, and security returns
    • Cao, Henry H., Joshua D. Coval, and David Hirshleifer, 2002, Sidelined investors, trade-generated news, and security returns, Review of Financial Studies 15, 615-648.
    • (2002) Review of Financial Studies , vol.15 , pp. 615-648
    • Cao, H.H.1    Coval, J.D.2    Hirshleifer, D.3
  • 8
    • 0001680118 scopus 로고    scopus 로고
    • Trade size, order imbalance, and the volatility-volume relation
    • Chan, Kalok, and Wai-Ming Fong, 2000, Trade size, order imbalance, and the volatility-volume relation, Journal of Financial Economics 57, 247-273.
    • (2000) Journal of Financial Economics , vol.57 , pp. 247-273
    • Chan, K.1    Fong, W.-M.2
  • 9
    • 0040162258 scopus 로고    scopus 로고
    • Market liquidity and trading activity
    • Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam, 2001, Market liquidity and trading activity, Journal of Finance 56, 501-530.
    • (2001) Journal of Finance , vol.56 , pp. 501-530
    • Chordia, T.1    Roll, R.2    Subrahmanyam, A.3
  • 11
    • 2942710421 scopus 로고    scopus 로고
    • Yahoo! for Amazon: Sentiment parsing from small talk on the web
    • Santa Clara University
    • Das, Sanjiv R., and Mike Chen, 2001, Yahoo! for Amazon: Sentiment parsing from small talk on the web, Working paper, Santa Clara University.
    • (2001) Working Paper
    • Das, S.R.1    Chen, M.2
  • 12
    • 84942464057 scopus 로고    scopus 로고
    • Persuasion bias and social influence
    • Stanford University
    • DeMarzo, Peter M., Dimitri Vayanos, and Jeffrey Zwiebel, 2001, Persuasion bias and social influence, Working paper, Stanford University.
    • (2001) Working Paper
    • Demarzo, P.M.1    Vayanos, D.2    Zwiebel, J.3
  • 13
    • 20044366665 scopus 로고    scopus 로고
    • Internet investment advice: Investing with a rock of salt
    • University of Oklahoma
    • Dewally, Michael, 2000, Internet investment advice: Investing with a rock of salt, Working paper, University of Oklahoma.
    • (2000) Working Paper
    • Dewally, M.1
  • 14
    • 0000147060 scopus 로고
    • Information aggregation in a noisy rational expectations economy
    • Diamond, Douglas W., and Robert E. Verrecchia, 1981, Information aggregation in a noisy rational expectations economy, Journal of Financial Economics 9, 221-235.
    • (1981) Journal of Financial Economics , vol.9 , pp. 221-235
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 15
    • 85008860520 scopus 로고    scopus 로고
    • What good is a volatility model?
    • Engle, Robert F., and Andrew J. Patton, 2001, What good is a volatility model? Quantitative Finance 1, 237-245.
    • (2001) Quantitative Finance , vol.1 , pp. 237-245
    • Engle, R.F.1    Patton, A.J.2
  • 17
    • 84986759400 scopus 로고
    • The estimation and application of long-memory time-series models
    • Geweke, John, and Susan Porter-Hudak, 1983, The estimation and application of long-memory time-series models, Journal of Time Series Analysis, 4, 221-238.
    • (1983) Journal of Time Series Analysis , vol.4 , pp. 221-238
    • Geweke, J.1    Porter-Hudak, S.2
  • 18
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • Glosten, Lawrence, Ravi Jagannathan, and David Runkle, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance 48, 1779-1801.
    • (1993) Journal of Finance , vol.48 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 19
    • 0003410290 scopus 로고
    • Princeton University Press, Princeton, NJ
    • Hamilton, James D., 1994, Time Series Analysis (Princeton University Press, Princeton, NJ).
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 20
    • 0012754584 scopus 로고    scopus 로고
    • A forecast comparison of volatility models: Does anything beat a GARCH (1,1)?
    • Brown University
    • Hansen, Peter Reinhard, and Asger Lunde, 2001, A forecast comparison of volatility models: Does anything beat a GARCH (1,1)? Working paper, Brown University.
    • (2001) Working Paper
    • Hansen, P.R.1    Lunde, A.2
  • 21
    • 21344493808 scopus 로고
    • Differences of opinion make a horse race
    • Harris, Milton, and Artur Raviv, 1993, Differences of opinion make a horse race, Review of Financial Studies 6, 473-506.
    • (1993) Review of Financial Studies , vol.6 , pp. 473-506
    • Harris, M.1    Raviv, A.2
  • 22
    • 84977342611 scopus 로고
    • The theory of speculation under alternative regimes of markets
    • Hirshleifer, Jack, 1977, The theory of speculation under alternative regimes of markets, Journal of Finance 32, 975-999.
    • (1977) Journal of Finance , vol.32 , pp. 975-999
    • Hirshleifer, J.1
  • 23
    • 2942700881 scopus 로고    scopus 로고
    • Thy neighbor's portfolio: Word-of-mouth effects in the holdings and trades of money managers
    • Stanford University
    • Hong, Harrison, Jeffrey D. Kubik, and Jeremy C. Stein, 2002, Thy neighbor's portfolio: Word-of-mouth effects in the holdings and trades of money managers, Working paper, Stanford University.
    • (2002) Working Paper
    • Hong, H.1    Kubik, J.D.2    Stein, J.C.3
  • 25
    • 85141101504 scopus 로고
    • Differential interpretation of public signals and trade in speculative markets
    • Kandel, Eugene, and Neil D. Pearson, 1995, Differential interpretation of public signals and trade in speculative markets, Journal of Political Economy 103, 831-872.
    • (1995) Journal of Political Economy , vol.103 , pp. 831-872
    • Kandel, E.1    Pearson, N.D.2
  • 26
    • 0000201678 scopus 로고
    • A theory of trading volume
    • Karpoff, Jonathan M., 1986, A theory of trading volume, Journal of Finance 41, 1069-1088.
    • (1986) Journal of Finance , vol.41 , pp. 1069-1088
    • Karpoff, J.M.1
  • 27
    • 84977733807 scopus 로고
    • The weekend effect: Trading patterns of individual and institutional investors
    • Lakonishok, Josef, and Edwin Maberly, 1990, The weekend effect: Trading patterns of individual and institutional investors, Journal of Finance 45, 231-243.
    • (1990) Journal of Finance , vol.45 , pp. 231-243
    • Lakonishok, J.1    Maberly, E.2
  • 28
  • 30
    • 2942749072 scopus 로고    scopus 로고
    • Skechers USA up 9%; buyers step in after FMR gets out
    • August 14
    • Marcinkowski, Victoria, 2001, Skechers USA up 9%; buyers step in after FMR gets out, Dow Jones News Wires, August 14.
    • (2001) Dow Jones News Wires
    • Marcinkowski, V.1
  • 31
    • 2942741766 scopus 로고    scopus 로고
    • Bow: A toolkit for statistical language modeling, text retrieval, classification and clustering
    • School of Computer Science, Carnegie-Mellon University
    • McCallum, Andrew, 1996, Bow: A toolkit for statistical language modeling, text retrieval, classification and clustering, Working paper, School of Computer Science, Carnegie-Mellon University.
    • (1996) Working Paper
    • McCallum, A.1
  • 32
    • 2942723241 scopus 로고    scopus 로고
    • Flooz.com says it is seeking merger, but service remain offline for now
    • August 10
    • Miles, Stephanie, 2001, Flooz.com says it is seeking merger, but service remain offline for now, Wall Street Journal, Online Edition, August 10.
    • (2001) Wall Street Journal, Online Edition
    • Miles, S.1
  • 33
    • 49049133343 scopus 로고
    • Information, trade and common knowledge
    • Milgrom, Paul, and Nancy L. Stokey, 1982, Information, trade and common knowledge, Journal of Economic Theory 26, 17-27.
    • (1982) Journal of Economic Theory , vol.26 , pp. 17-27
    • Milgrom, P.1    Stokey, N.L.2
  • 34
    • 0002025664 scopus 로고
    • Stock volatility and the crash of '87
    • Schwert, G. William, 1990, Stock volatility and the crash of '87, Review of Financial Studies 3, 77-102.
    • (1990) Review of Financial Studies , vol.3 , pp. 77-102
    • Schwert, G.W.1
  • 35
    • 0000620010 scopus 로고    scopus 로고
    • Conversation, Information, and Herd Behavior
    • Shiller, Robert J., 2000, Conversation, Information, and Herd Behavior, American Economic Review 85, 181-185.
    • (2000) American Economic Review , vol.85 , pp. 181-185
    • Shiller, R.J.1
  • 36
    • 0142189416 scopus 로고    scopus 로고
    • News or noise? Internet message board activity and stock prices
    • Tumarkin, Robert, and Robert F. Whitelaw, 2001, News or noise? Internet message board activity and stock prices, Financial Analysts Journal 57, 41-51.
    • (2001) Financial Analysts Journal , vol.57 , pp. 41-51
    • Tumarkin, R.1    Whitelaw, R.F.2
  • 37
    • 2942754765 scopus 로고    scopus 로고
    • Where everyone is an expert
    • Weiss, Garry, 2000, Where everyone is an expert, BusinessWeek May 22, 173-176.
    • (2000) BusinessWeek , vol.MAY 22 , pp. 173-176
    • Weiss, G.1
  • 38
    • 0013443575 scopus 로고    scopus 로고
    • Cheap talk on the web: The determinants of postings on stock message boards
    • University of Michigan
    • Wysocki, Peter D., 1999, Cheap talk on the web: The determinants of postings on stock message boards, Working paper, University of Michigan.
    • (1999) Working Paper
    • Wysocki, P.D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.