Factor Model based on contents analysis of Stock BBS Postings

Abstract

We aim to develop a new factor of stock BBS postings that is different from our BMB factor. In our previous study, the contents of stock BBS postings are classified into two categories; i.e. the bullish postings and the bearish postings, and our BMB factor is based on these categories. The results of recent study suggest that the contents of stock BBS postings may be represented by employing more than one index. To develop a new factor, we use a morphological analysis and a PCA to analyze the contents of stock BBS postings. As results, we develop a new factor that based on principal component score and it represented the return of stock, and in that they are not correlated with our BMB factor.