Internet Message Board Activity and Market Efficiency: A Case Study of the Internet Service Sector Using RagingBull.Com

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.