Will the reddit rebellion take you to the moon? Evidence from WallStreetBets

被引:14
作者
Chacon, Ryan G. [1 ]
Morillon, Thibaut G. [2 ]
Wang, Ruixiang [3 ]
机构
[1] Univ Colorado, Dept Finance, 1420 Austin Bluffs Pkwy, Colorado Springs, CO 80918 USA
[2] Elon Univ, Koury Business Ctr, Dept Finance, 401 North OKelly Ave, Elon, NC 27244 USA
[3] Clark Univ, Sch Management, 950 Main St, Worcester, MA 01610 USA
关键词
Reddit; Retail investors; Wallstreetbets; Trading; INVESTOR SENTIMENT; INDIVIDUAL INVESTORS; NOISE; TALK;
D O I
10.1007/s11408-022-00415-w
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In early 2021, several stocks receiving attention from retail traders known as "meme stocks" soared in value. A primary source of information regarding these stocks is from the social media platform Reddit, specifically from a subreddit known as Wall-StreetBets (WSB).This paper investigates whether a simple and easily implementable trading strategy following the WallStreetBets (WSB) subreddit can produce alpha. We document no evidence this is the case. Though we do observe a positive relation between WSB submissions and abnormal trading volume, we find that a portfolio that goes long buy recommendations and short sell recommendations each day is not profitable on a risk-adjusted basis. Holding periods from one day to one year fail to produce alpha. These findings are robust to a variety of different portfolio formation strategies. Our results provide an early look at the data following the explosion of interest in social media inspired retail investing.
引用
收藏
页码:1 / 25
页数:25
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