Online Talk Effect on Small Stocks Sanjiv Sabherwal University of Texas at Arlington sabherwal@uta.edu Salil K. Sarkar University of Texas at Arlington sarkar@uta.edu Ying (Clement) Zhang* University of Texas at Arlington yzhang@uta.edu Keywords: Internet Stock Message Boards, On-Line Trading, Sentiment Index, Disagreement Index, Noise Traders, Text Classifiers This draft Jan 13, 2008 NOT FOR QUOTE *Corresponding Author Ying (Clement) Zhang Department of Finance and Real Estate UTA Box 19449 The University of Texas at Arlington Arlington, TX 76019 Email: yzhang@uta.edu Phone: 817 272 3733 FAX: 817 272 2252