Does the Internet know more? --- Open source information and asset pricing
ZHANG Yong-jie1, ZHANG Wei1, JIN Xi1,2, XIONG Xiong1
1. College of Management and Economics, Tianjin University, Tianjin 300072, China;2. Department of Finance, Tianjin University of Finance and Economics,Tianjin 300222, China
Abstract：Open source information from Internet has been affecting behaviors of investors more and more, thereby affecting stock pricing and the effectiveness of resource allocation of stock markets. Based on a search-engine-based text data mining algorithm, a group of data series on the amount of open source information content are captured from Internet, and used to investigate their meanings on asset pricing. On pricing some individual stocks, the index of open source information content is found to significantly relevant to the abnormal returns. Some evidence is found that open source information even contains more effective content than the variable of trading volume does.
张永杰;张维;金曦;熊熊. 互联网知道的更多么?------网络开源信息对资产定价的影响[J]. 系统工程理论与实践, 2011, 31(4): 577-586.
ZHANG Yong-jie;ZHANG Wei;JIN Xi;XIONG Xiong. Does the Internet know more? --- Open source information and asset pricing. Systems Engineering - Theory & Practice, 2011, 31(4): 577-586.
2011, Vol. 31 
