Journal of Banking & Finance·Vol. 55, JUNE 2015
股票互联网留言对小盘股横截面收益的影响
作者：Henry Leunga (Discipline of Finance, The University of Sydney), Thai Tonb (Darmstadt University of Technology)
摘要：本文研究250万条以上HotCopper留言对澳大利亚股市的影响。HotCopper是澳大利亚最大的在线股票留言区。我们选取的留言样本数据涉及了2003年1月至2008年12月在澳大利亚证券交易所（ASX）上市的2000多家公司，同时剔除了澳大利亚证券交易所集中发布公开的价格敏感性公告，以便于检验互联网留言中私人信息内容的影响。我们发现，留言板的信息数量以及信息反映出的情绪与表现不佳（低净资产收益率、息税前利润率、每股收益）、高市场增长潜力（低净值市价比）的小盘股的同期回报显著正相关。留言活动与小盘股的交易量呈正相关；短期内与小盘股和大盘股的买卖价差呈负相关。在相应的日期内，看涨小盘股的表现要显著优于看跌小盘股，而且在之后的时间内其回报不会回转到留言活动之前的水平。而大盘股并未受到留言活动的影响。我们的结论如下：在类似于ASX这样受高度管制的股票市场中，高度活跃的留言活动将会迅速地反映到小盘股股价中去。
关键词：互联网留言区，股票收益，小盘股
The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks
Henry Leunga (Discipline of Finance, The University of Sydney, Australia), Thai Tonb (Darmstadt University of Technology, Germany)
ABSTRACT
We examine the impact of more than 2.5 million HotCopper messages on the Australian stock market. HotCopper is the largest online stock message board in Australia and the sample of messages covers over 2000 companies listed on the Australian Securities Exchange (ASX) from January 2003 through December 2008. We exclude messages surrounding public price-sensitive announcements released centrally by the ASX in order to examine the private information content of internet board messages. We find that the number of board messages and message sentiment significantly and positively relate to the contemporaneous returns of underperforming (low ROE, EBIT margin, EPS) small capitalization stocks with high market growth potential (low book-to-market). Posting activity is positively associated with trading volume for small stocks and negatively associated with bid-ask spreads for small and large stocks in the short term. Bullish small stocks outperform bearish ones significantly in respective days and months, exhibiting no return reversals to pre-message board activity levels in subsequent time periods. Large stocks are not found to be affected by message board activity. We conclude that higher message board activity quickly reflects itself into the prices of small capitalization stocks in a highly regulated market like the ASX.
Keywords: Internet message boards, Stock returns, Small capitalization stocks
原文链接：http://www.sciencedirect.com/science/article/pii/S0378426615000175
翻译：贾梦悦
