Empirical Study on Influences of Investors' Cognitive Differences on Stock Returns — Based on Text Information of "Taoguba"
Journal: Modern Economics & Management Forum DOI: 10.32629/memf.v6i2.3967
Abstract
This paper constructs a unique indicator of domestic individual investors' cognitive differences using "Taoguba" forum text data and the Naive Bayes method. Through Granger causality tests, instantaneous Granger causality tests, and intertemporal regression analysis, it examines whether cognitive differences influence or predict stock returns. Empirical results show cognitive differences impact current stock returns but lack predictive ability. Non-trading hour forum posts predict opening prices, while trading hour posts significantly influence closing prices and daily yields. This study enhances understanding of online trader behavior and its impact on stock returns, offering insights into market dynamics and investor sentiment.
Keywords
text information analysis, investors' cognitive differences, stock returns, group behavior
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[2] Pei and Zhang, Empirical test of the cognitive bias of China stock investors, Management World, 2004, (12), 12-22.
[3] Liu, Zhang, Gu and Yao, How does investor behavior affect the liquidity of the stock market? -Analysis based on investor sentiment, information cognition and short selling constraints, Journal of Management Sciences in China, 2016, (10), 87-100.
[4] Todd Houge, Tim Loughran, Cash Flow Is King? Cognitive Errors by Investors? Journal of Behavioral Finance, 2000, 1(3-4), 161-175.
[5] Schmeling M, Investor sentiment and stock returns: Some international evidence, Journal of Empirical Finance, 2009, 16(3), 394-408.
[6] Ylva Backstrom, Jo Silvester and Rachel A. J. Pownall, Millionaire investors: financial advisors, attribution theory and gender differences, The European Journal of Finance, 2018, 24, 1333-1349.
[7] Jia, Zhu and Chen, Company name, investor cognition and company value - behavioral finance research based on company name evaluation indicator system, Journal of Financial Research, 2016, (5), 173-190.
[8] Cui and Hong, Will investors' cognitive bias on economic fundamentals affect securities prices? -Comparative Analysis of Chinese and American Securities Markets, Economic Research Journal, 2017, (7), 94-109.
[9] Antweiler, Werner, and Murray Z, Frank. “Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards”, Journal of Finance, 2004, 59(3): 1259-1295.
[10] Das Sanjiv and Mike Y. Chen, “Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web”, Management Science, 2007, 53(9), 1375-1388.
[11] Kim S H, Kim D. Investor sentiment from internet message postings and the predictability of stock returns. Journal of Economic Behavior & Organization, 2014, 107, 708-729.
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