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Do stock bulletin board systems (BBS) contain useful information? A viewpoint of interaction between BBS quality and predicting ability

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  • Xiong Xiong
  • Chunchun Luo
  • Ye Zhang
  • Shen Lin

Abstract

This study explores whether information on internet stock bulletin board systems (BBS) is valuable for stock return prediction, taking advantage of data derived from the biggest stock BBS in China. Using a text classification algorithm, we find the online messages significantly predict stock return with negligible R‐squared. However, we find that accuracy of individual BBS posts is below 50 percent and there is no distinction at prediction accuracy between high‐ and low‐quality stock BBS. Due to the autocorrelation of stock returns, we argue that BBS predicts stock returns because of its reflection on the simultaneous stock return rather than revelation on valuable information.

Suggested Citation

  • Xiong Xiong & Chunchun Luo & Ye Zhang & Shen Lin, 2019. "Do stock bulletin board systems (BBS) contain useful information? A viewpoint of interaction between BBS quality and predicting ability," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(5), pages 1385-1411, March.
    • Handle: RePEc:bla:acctfi:v:58:y:2019:i:5:p:1385-1411
    DOI: 10.1111/acfi.12448
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    4. Han, Mengrui & Ying, Qianwei & Huang, Li, 2023. "Firms’ delayed replies and investor confidence: Evidence from M&A comment letters in China," Finance Research Letters, Elsevier, vol. 56(C).

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