Journal of Banking & Finance·Vol. 55, JUNE 2015

股票互聯網留言對小盤股橫截面收益的影響

作者：Henry Leunga (Discipline of Finance, The University of Sydney), Thai Tonb (Darmstadt University of Technology)

摘要：本文研究250萬條以上HotCopper留言對澳大利亞股市的影響。HotCopper是澳大利亞最大的在線股票留言區。我們選取的留言樣本數據涉及了2003年1月至2008年12月在澳大利亞證券交易所（ASX）上市的2000多家公司，同時剔除了澳大利亞證券交易所集中發布公開的價格敏感性公告，以便于檢驗互聯網留言中私人信息内容的影響。我們發現，留言闆的信息數量以及信息反映出的情緒與表現不佳（低淨資産收益率、息稅前利潤率、每股收益）、高市場增長潛力（低淨值市價比）的小盤股的同期回報顯著正相關。留言活動與小盤股的交易量呈正相關；短期内與小盤股和大盤股的買賣價差呈負相關。在相應的日期内，看漲小盤股的表現要顯著優于看跌小盤股，而且在之後的時間内其回報不會回轉到留言活動之前的水平。而大盤股并未受到留言活動的影響。我們的結論如下：在類似于ASX這樣受高度管制的股票市場中，高度活躍的留言活動将會迅速地反映到小盤股股價中去。

關鍵詞：互聯網留言區，股票收益，小盤股

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

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0378426615000175

翻譯：賈夢悅