So the economists find out that online message boards on companies presage market activity. The authors found that the characteristics of messages helped predict volume and volatility. Perhaps more surprisingly, they also found that the number of messages on one day helped predict stock returns the next day.
Interesting this: It appeared from their analysis that high message volume helps predict articles in The Wall Street Journal published two or three days later, though again the causality was unclear.
The latest version of the paper is here (paid)…and a complimetary 2002 version of the paper is here (PDF)…
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