Title: | Internet Message Board Activity and Market Efficiency: A Case Study of the Internet Service Sector Using RagingBull.Com |
Authors: | Tumarkin, Robert M. |
Issue Date: | 2000 |
Series/Report no.: | GLUCKSMAN-2000-1 |
Abstract: | This paper examines the relationships between internet message-board activity and abnormal stock returns and between internet message-board activity and abnormal trading volume.This study focuses on RagingBull.com and internet service sector stocks. I choose RagingBull.com because its format enables me to measure investor opinion objectively. I find that on days with abnormally high message activity changes in investor opinion correlate with with abnormal industry-adjusted returns. Additionally, days with abnormally high message activity coincide with abnormally high trading volume both that day and the following day. However, I find that, in general, message-board activity does not predict industry-adjusted returns or abnormal trading volume. |
URI: | http://hdl.handle.net/2451/25970 |
Appears in Collections: | Glucksman Fellowship Program Student Research Reports |
Files in This Item:
File | Description | Size | Format | |
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Tumarkin.pdf | 198.97 kB | Adobe PDF | View/Open |
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