Do stock bulletin board systems ( BBS ) contain useful information? A viewpoint of interaction between BBS quality and predicting ability
2019; Wiley; Volume: 58; Issue: 5 Linguagem: Inglês
10.1111/acfi.12448
ISSN1467-629X
AutoresXiong Xiong, Chunchun Luo, Ye Zhang, Shen Lin,
Tópico(s)Auditing, Earnings Management, Governance
ResumoAbstract This study explores whether information on internet stock bulletin board systems ( BBS ) is valuable for stock return prediction, taking advantage of data derived from the biggest stock BBS in China. Using a text classification algorithm, we find the online messages significantly predict stock return with negligible R ‐squared. However, we find that accuracy of individual BBS posts is below 50 percent and there is no distinction at prediction accuracy between high‐ and low‐quality stock BBS . Due to the autocorrelation of stock returns, we argue that BBS predicts stock returns because of its reflection on the simultaneous stock return rather than revelation on valuable information.
Referência(s)