Development of Factor Model based on Stock BBS Posting

Abstract

We investigate whether the number and content of postings of the posting of BBS become the explanatory variables of the stocks return. In previous work, the possibility that these factors are related to the stocks return and risk is suggested. We verify whether CAPM approve a portfolio by the number and contents of postings in TSE. We find the possibility CAPM is not approved in a portfolio with the highest number of postings and the fewest number of postings as well as the highest number of bullish postings and the highest number of bear postings. We argue an index of the difference of the return of a portfolio with the highest number of postings and the return of a portfolio with the fewest number of postings as well as the posting contents.