Abstract
This paper examines the cross-sectional and time-series determinants of message-posting volume on stock message boards on the Web. I test whether variation in message-posting volume is just noise or is related to underlying firm characteristics and stock market activity. Using a sample of over 3,000 stocks listed on Yahoo! message boards, I find that cumulative posting volume is, on average, highest for firms with extreme past returns and accounting performance, high market capitalization, high price-earnings and market-to-book ratios, high volatility and trading volume, high analyst following and low institutional holdings. Changes in daily posting volume are associated with earnings-announcement events and daily changes in stock trading volume and returns. Overnight message-posting volume is found to predict changes in next day stock trading volume and returns. Rational and behavioral explanations for the observed pattern in message-posting activity are discussed.
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