TY - JOUR
T1 - Stakeholder analyses of firm-related web forums
T2 - Applications in stock return prediction
AU - Zimbra, David
AU - Chen, Hsinchun
AU - Lusch, Robert F.
N1 - Publisher Copyright:
© 2015 ACM.
PY - 2015/4/3
Y1 - 2015/4/3
N2 - In this study, we present stakeholder analyses of firm-related web forums. Prior analyses of firm-related forums have considered all participants in the aggregate, failing to recognize the potential for diversity within the populations. However, distinctive groups of forum participants may represent various interests and stakes in a firm worthy of consideration. To perform the stakeholder analyses, the Stakeholder Analyzer system for firm-relatedweb forums is developed following the design science paradigm of information systems research. The design of the system and its approach to stakeholder analysis is guided by two kernel theories, the stakeholder theory of the firm and the systemic functional linguistic theory. A stakeholder analysis identifies distinctive groups of forum participants with shared characteristics expressed in discussion and evaluates their specific opinions and interests in the firm. Stakeholder analyses are performed in six major firm-related forums hosted on Yahoo Finance over a 3-month period. The relationships between measures extracted from the forums and subsequent daily firm stock returns are examined using multiple linear regression models, revealing statistically significant indicators of firm stock returns in the discussions of the stakeholder groups of each firm with stakeholder-model-adjusted R2 values reaching 0.83. Daily stock return prediction is also performed for 31 trading days, and stakeholder models correctly predicted the direction of return on 67% of trading days and generated an impressive 17% return in simulated trading of the six firm stocks. These evaluations demonstrate that the stakeholder analyses provided more refined assessments of the firm-related forums, yielding measures at the stakeholder group level that better explain and predict daily firm stock returns than aggregate forum-level information.
AB - In this study, we present stakeholder analyses of firm-related web forums. Prior analyses of firm-related forums have considered all participants in the aggregate, failing to recognize the potential for diversity within the populations. However, distinctive groups of forum participants may represent various interests and stakes in a firm worthy of consideration. To perform the stakeholder analyses, the Stakeholder Analyzer system for firm-relatedweb forums is developed following the design science paradigm of information systems research. The design of the system and its approach to stakeholder analysis is guided by two kernel theories, the stakeholder theory of the firm and the systemic functional linguistic theory. A stakeholder analysis identifies distinctive groups of forum participants with shared characteristics expressed in discussion and evaluates their specific opinions and interests in the firm. Stakeholder analyses are performed in six major firm-related forums hosted on Yahoo Finance over a 3-month period. The relationships between measures extracted from the forums and subsequent daily firm stock returns are examined using multiple linear regression models, revealing statistically significant indicators of firm stock returns in the discussions of the stakeholder groups of each firm with stakeholder-model-adjusted R2 values reaching 0.83. Daily stock return prediction is also performed for 31 trading days, and stakeholder models correctly predicted the direction of return on 67% of trading days and generated an impressive 17% return in simulated trading of the six firm stocks. These evaluations demonstrate that the stakeholder analyses provided more refined assessments of the firm-related forums, yielding measures at the stakeholder group level that better explain and predict daily firm stock returns than aggregate forum-level information.
KW - Sentiment analysis
KW - Social media analytics
KW - Stakeholder analysis
KW - Stock prediction
KW - Web forums
UR - http://www.scopus.com/inward/record.url?scp=84927514705&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84927514705&partnerID=8YFLogxK
U2 - 10.1145/2675693
DO - 10.1145/2675693
M3 - Article
AN - SCOPUS:84927514705
SN - 2158-656X
VL - 6
JO - ACM Transactions on Management Information Systems
JF - ACM Transactions on Management Information Systems
IS - 1
M1 - 2
ER -