Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards


  • Werner Antweiler,

  • Murray Z. Frank

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    • Both authors are at the Sauder School of Business, University of British Columbia. We would like to thank Richard Arnott; Jack Cooney; Elizabeth Demers; Rick Green; Alan Kraus; John Ries; Jacob Sagi; an anonymous referee; and the seminar audiences at UBC, the University of Toronto, the 2002 Canadian Economics Association, the Nasdaq-Yale-JFM conference, the 2002 Northern Finance Association, and the 2002 American Finance Association annual meetings for helpful comments. We thank the SSHRC (501-2001-0034) for financial support. The second author thanks the B. I. Ghert Family Foundation for financial support. All errors are ours.


Financial press reports claim that Internet stock message boards can move markets. We study the effect of more than 1.5 million messages posted on Yahoo! Finance and Raging Bull about the 45 companies in the Dow Jones Industrial Average and the Dow Jones Internet Index. Bullishness is measured using computational linguistics methods. Wall Street Journal news stories are used as controls. We find that stock messages help predict market volatility. Their effect on stock returns is statistically significant but economically small. Consistent with Harris and Raviv (1993), disagreement among the posted messages is associated with increased trading volume.