The existing cryptocurrency portfolio studies have relied heavily on historical asset returns and ignored the importance of the prediction information of asset returns, which leads to poor out-of-sample performance of the resulting portfolio strategies. To this end, we first crawl the tweets...

Using textual analysis of stock message board posts, we find that investors’ sentiment expressed through messages can predict future one-day stock returns. For small stocks, message board sentiment can predict up to two-day cumulative future returns. This increased predictive power on small...