The "CAPS" Prediction System and Stock Market Returns

被引：25

作者：

Avery, Christopher N. ^{[1
,2
]}

Chevalier, Judith A. ^{[2
,3
]}

Zeckhauser, Richard J. ^{[1
,2
]}

机构：

[1] Harvard Kennedy Sch Govt, Cambridge, MA 02138 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Yale Sch Management, New Haven, CT 06511 USA

来源：

REVIEW OF FINANCE | 2016年 / 20卷 / 04期

基金：

美国国家科学基金会;

关键词：

SHORT-SALE CONSTRAINTS; INTERNET; TALK; SENTIMENT; WISDOM; CROWDS; NOISE; RISK;

D O I：

10.1093/rof/rfv043

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study approximately 5.0 million stock picks submitted by individual users to the "CAPS" website run by the Motley Fool company ( ext-link-type="uri" xlink:href="http://www.caps.fool.com">www.caps.fool.com). These picks prove to be surprisingly informative about future stock prices. Shorting stocks with a disproportionate number of negative picks and buying stocks with a disproportionate number of positive picks yields a return of over 12% per annum over the sample period. Negative picks mostly drive these results; they strongly predict future stock price declines. Returns to positive picks are statistically indistinguishable from the market. A Fama-French decomposition suggests that stock-picking rather than style factors largely produced these results.

引用

页码：1363 / 1381

页数：19

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