Veljko

2 Comments

    • ON: Fri Apr 4th 11:54 AM
      Commented on:
      Study Suggests Financial Bloggers May Move Markets
      Mr. Hoffmann,
      The underlying assumption, pinned on market efficiency, is that stock price changes are a reaction to new information. If no new information is offered by the traditional media (that is, no news are published, as I am controlling for those) then the new information that moves the market price must come from the blog itself. In other words, the underlying assumption is that, in the absence of news, bloggers are indeed “posting in a vacuum”.
      You are absolutely correct at pointing this out as the difficult “selling point” of the paper. I am conscious of the fact that there is a risk of not capturing all new information. As I mentioned, I am currently revising the study; one of the aspects on which I hope to improve is my control for external news, to make it absolutely certain that no other events are motivating the price change. The emphasis on this issue originates from feedback such as yours and, for that, I am extremely grateful.
      Another aspect I am focusing on is the use of more accurate measures of blog readership. My reasoning is, if the market reaction is somehow linked to the size of the audience, then we would have additional support for the hypothesis that the blog itself is moving the market.
      Once more, thanks a lot for your feedback. I will make sure to send you the updated version of the paper as soon as it becomes available.
      Regards,
      Veljko
      Veljko@ou.edu
      View article »
    • ON: Thu Apr 3rd 15:14 PM
      Commented on:
      Study Suggests Financial Bloggers May Move Markets
      Dear Mr. Hoffmann and Seeking Alpha community,
      Thank you very much for your kind feedback.
      I try not to comment on my own research, as I think it is for the reader to judge its merits, or lack of.
      But I feel compelled to make an exception in this case. I have to apologize in case I failed to make this clear, but the sample used in gauging market reaction was controlled for contemporaneous news. As stated in the “Data Sources” section, I use two news databases, Factiva and Lexis-Nexis, to control for all firm-specific news items appearing on either Dow-Jones Newswires or on The Wall Street Journal on the interval between day -1 (the day preceding blog publication) and day +1 (the day following blog publication). In addition, I excluded all instances in which other blog posts were published during the same time interval. Also, I exclude all instances in which the firm posted earning reports (although those are, in the great majority of cases, reported by Dow-Jones Newswires). As stated and as indicated in the tables, these restrictions reduce my final sample to 208 observations from the original 500. Results are reported for both subsets. The evidence I offer in support of market reactions is based on the reduced sample and so are the quoted results.
      The first statement you quote "Bloggers do appear, for the most part, to echo information already available in the media:” is based on observing that only 208 observations report novel information.
      While I do appreciate the interest that the blogging community has so far shown, I wish to make clear that this is a preliminary study, which I consider a starting point for a larger project. In particular, I am currently working on dramatically expanding my sample size by using web-crawling algorithms to automate data collection. In addition, the revised version of the paper will contain a discussion on the relationship between market reaction and past performance of bloggers; I hope to be able to establish that markets react more to bloggers who have a better “track record”, defined by the accuracy of their past predictions (I define an accurate recommendation as one which correctly anticipated the sign of the subsequent long-term abnormal return; for example, a long recommendation followed by a subsequent price increase).
      Once more, please allow me to thank you for taking the time to review my research and to offer your feedback. Thanks also to Seeking Alpha for the wonderful job done in tracking the evolution of the financial blogging community.

      A quick note: the opinions here expressed are mine and do not necessarily reflect those of Price College or of the University of Oklahoma .

      Regards,
      Veljko Fotak
      veljko@ou.edu
      View article »
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