Social Media, Investor Sophistication and Earning Expectation: Evidence from SSE E-Interaction
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| Title | Social Media, Investor Sophistication and Earning Expectation: Evidence from SSE E-Interaction
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| Author | Ding Hui, Changjiang Lyu and Haijie Huang |
| Organization | Fudan University |
| Email | cjlu@fudan.edu.cn |
| Key Words | Social Media; Investor Sophistication; Earning Expectation; Market Efficiency |
| Abstract | Investor sophistication, as the micro-component of market efficiency, is the hot issue of academic research. Regarding the lack of the direct test on the market effect of investor sophistication in the existing research achievement, we study the effect of the investor change on the accuracy of market earning expectation under the help of SSE online platform “SSE E-Interaction” which provides a natural experiment environment. We find that the investor sophistication change due to social media technology can improve the accuracy of market earning expectation significantly, which indicates the effect of market earning expectation modification. We further find the effect of market earning expectation modification can be stronger when the institutional ownership goes lower. Our finding implies it is an important method of improving market efficiency to enhance investor sophistication which complements the effect of institutional investors on the market efficiency. Our research work not only provides a new view on the market efficiency, but also provides some new theoretical analysis and empirical evidence on the hot issues of investor sophistication and social media. |
| Serial Number | WP1081 |
| Time | 2016-07-22 |
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