Investor Disagreement, Disclosure Processing Costs, and Trading Volume Evidence from Social Media

• 成果类型: Article
• 署名作者: Booker, Adam; Curtis, Asher; Richardson, Vernon J.
• 署名单位: University of Denver; University of Washington; University of Washington Seattle; University of Arkansas System; University of Arkansas Fayetteville; City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2018-0259
• 发表日期: 2023
• 页码: 109-137
• 关键词: information; earnings; news; volatility; attention; opinions; price

摘要

We use posts on the investor-focused StockTwits social media network to generate new insights regarding investor disagreement, disclosure processing costs, and trading volume around earnings announcements. Using social media-based measures of disagreement, we find that both preannouncement disagreement and increases in disagreement around an earnings announcement are positively associated with trading volume. Drawing upon the disclosure processing costs literature, we provide evidence that the effects of disagreement increase when disclosure processing costs are lower. Our social media measures of disagreement remain significant after including traditional analyst earnings estimate measures of disagreement in the model. Our study provides new evidence on the importance of disclosure processing costs and is consistent with lower disclosure processing costs amplifying both the resolution of preannouncement disagreement and new disagreement about earnings information.