MIS Speaker's Series with Olivia Sheng

Date: Fri. Feb. 3, 2012
Time: 3:00 - 4:00 pm
Location: McClelland 128
Cost: None
Event RSVP: None

SPEAKER: Olivia Liu Sheng, Director, Global Knowledge Management Center, U of Utah

TITLE: Investigating Predictive Power of Stock Micro Blog Sentiment in Forecasting Future Stock Price Directional Movement

Abstract: This study attempts to discover and evaluate the predictive power of stock micro blog sentiment on future stock price directional movements. We construct a set of robust models based on sentiment analysis and data mining algorithms. Using 72,221 micro blog  postings  for 1909 stock tickers and 3874 distinct authors, our study reveals not only that stock micro blog sentiments do have predictive power for simple and market-adjusted returns  respectively,  but  also that this predictive accuracy is consistent with the underreaction hypothesis observed in behavioral finance. We establish that stock micro blog with its succinctness, high volume and real-time features do have predictive power over future stock price movements.

Furthermore, this study provides support for the model of irrational investor sentiment, recommends a complimentary investing approach using user-generated content and validates an instrument that may contribute to the monetization schemes for Virtual Investing Communities. View the complete paper here.

Bio: View complete CV here.

For more information contact:

Mingfeng Lin, PhD.
Assistant Professor, MIS Department
Phone: 520-621-2684
mingfeng@email.arizona.edu

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