On the Optimality of the Simple Bayesian Classifier under Zero-One Loss
Machine Learning - Special issue on learning with probabilistic representations
Text Categorization with Suport Vector Machines: Learning with Many Relevant Features
ECML '98 Proceedings of the 10th European Conference on Machine Learning
Who Benefits from Store Brand Entry?
Marketing Science
The Wisdom of Crowds
Using Online Conversations to Study Word-of-Mouth Communication
Marketing Science
Optimal Data Interval for Estimating Advertising Response
Marketing Science
Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web
Management Science
Marketing Science
Do Innovations Really Pay Off? Total Stock Market Returns to Innovation
Marketing Science
New Introduction to Multiple Time Series Analysis
New Introduction to Multiple Time Series Analysis
Social Media and Firm Equity Value
Information Systems Research
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This study examines whether user-generated content (UGC) is related to stock market performance, which metric of UGC has the strongest relationship, and what the dynamics of the relationship are. We aggregate UGC from multiple websites over a four-year period across 6 markets and 15 firms. We derive multiple metrics of UGC and use multivariate time-series models to assess the relationship between UGC and stock market performance. Volume of chatter significantly leads abnormal returns by a few days (supported by Granger causality tests). Of all the metrics of UGC, volume of chatter has the strongest positive effect on abnormal returns and trading volume. The effect of negative and positive metrics of UGC on abnormal returns is asymmetric. Whereas negative UGC has a significant negative effect on abnormal returns with a short “wear-in” and long “wear-out,” positive UGC has no significant effect on these metrics. The volume of chatter and negative chatter have a significant positive effect on trading volume. Idiosyncratic risk increases significantly with negative information in UGC. Positive information does not have much influence on the risk of the firm. An increase in off-line advertising significantly increases the volume of chatter and decreases negative chatter. These results have important implications for managers and investors.