This paper aims at focusing on the avenues of research related to the process of information integration by taking explicitly into account investors’ sentiment, investors’ attention, and the buzz hypothesis. New social media introduce change in the way information is processes in the market. Qualitative concepts such as rumor, opinion, sentiment, are often put in the frontstage. Moreover the formal dimensions of information become more important compared to the content of information. This leads to new avenues of research aside the standard information value hypothesis.