Local stock message board posts predict short-term returns better than nonlocal.
Stock message board sentiment can predict future one-day stock returns, especially for small stocks where it can predict up to two-day cumulative future returns. This predictive power is mainly seen in local posts, originating from the provinces where the stocks' headquarters are located. Nonlocal posts tend to follow trends more. However, message board sentiment does not predict long-term stock returns. Overall, local investors have a short-term information advantage.