This study extends the literature on the information content of stock message boards. To better understand the effect of online postings on trading activities and reduce the error due to stocks with small message board followings, we examine stocks with no fundamental news and high message posting activity. Such stocks tend to be of small firms with weak financials. For those stocks, we find a two-day pump followed by a two-day dump manipulation pattern among online traders, which suggests that an online stock message board can be used as a herding device to temporarily drive up stock prices. We also find that online traders' credit-weighted sentiment index, but not the number of postings, is positively associated with contemporaneous return and negatively predicts the return next day and two days later. Also, absolute sentiment is negatively related with contemporaneous and next day's intraday volatility and positively related with the proportion of volume in small-sized trades. We conclude that message board sentiment is an important predictor of trading-related activities.

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PurposeThe purpose of this paper is to examine stocks that are most actively discussed by online posters and see if the messages posted about these stocks have information or if they are just noise.Design/methodology/approachThis study uses messages posted on TheLion.com, which reports a real time list of the ten most actively discussed stocks. The stocks in this list at the daily market close during 2005‐2006 are examined. An event study is performed to estimate the daily abnormal returns on these stocks. Contemporaneous and lead–lag regressions of abnormal returns against message posting activities are performed.FindingsOnline posters prefer thinly traded micro‐cap stocks. On average, there is an abnormal return of 19.4 per cent on a stock the day it is one of the ten most talked about stocks. The number of messages posted about a stock on a given day is not only positively related with the stock's abnormal return on that day but it also positively predicts the next day's abnormal return.Research limitations/implicationsIt may be interesting to examine if the investor sentiment expressed in online messages has predictive power for micro‐cap stocks.Practical implicationsThe results provide evidence to regulators that online talk affects stock prices. They show investors that there are inefficiencies in the stock market. They also suggest that corporate managers, especially of small firms, should monitor the stock message boards.Originality/valueThis study focuses on the micro‐cap stocks favored by online posters and finds that online talk has the power to predict the next‐day returns.

This article reexamines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods, but we modify the conventional market model to permit its residuals (unexpected returns) to be described by a time-varying conditional variance. We also differ from previous work in that our sample contains only sell-offs that can be precisely dated. Although we find substantial evidence of time-varying volatility in the unexpected return series, our economic results confirm the conventional viewpoint.Research on the restructuring of real estate and related firms affected by the purchase or sale of real estate has centered on documenting any unexpected returns associated with such activities and providing explanations for the statistical findings. The consensus, as recently elicited by Sirmans (1989, 1991), Elayan andYoung (1993), andMclntosh, Ott, andLiang (1995), is that sellers obtain unexpected returns and that buyers do not. Explanations for this finding rest on differences in the tax treatments for buyers and sellers, and on the number of buyers as opposed to the number of sellers. This latter explanation finds support in the corporate control literature as illustrated by Bradley, Desal, andKim (1988) and Jarrell, Brickley, andNetter (1988), among others.The purpose of this study is to reexamine the nature of the returns received by buyers and sellers. Two factors motivate this reexamination. First, previous studies rely on event study procedures cum the Ordinary Least Squares (OLS) market model. The OLS market model assumes that unexpected returns are normally distributed. Numerous studies, however, including Morgan and Morgan (1987), Connolly (1989), and Schwert and Sequin (1990), demonstrate that these returns often exhibit significant heteroscedasticity. To account for this possibility, we use a market model that permits unexpected returns to follow a generalized

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