Social Media and Investor Returns: The Case of Reddit

Posted: 20 Nov 2018

See all articles by Arsenio Staer

Arsenio Staer

California State University, Fullerton, Mihaylo College of Business & Economics, Department of Finance

Marcel Jacquot

California State University, Fullerton, Mihaylo College of Business & Economics, Department of Finance, Students

Date Written: November 12, 2018

Abstract

We document a positive association between signed stock-related social media activity on Reddit, one of the largest forums on the internet, and next day stock returns using a battery of sentiment analysis tests with a variety of controls. Stock-related activity on Reddit is positively related to next day stock trading volume as well. Furthermore, unsigned social media activity in a stock on Reddit is not linked to the next day returns or variation in liquidity but is positively related to the next day intraday volatility. Together, the findings suggest that social media platforms continue to gain ground as a significant source of investor attention with substantial market implications.

Keywords: reddit, investor sentiment, investor attention, social media, returns

JEL Classification: G02, G14

Suggested Citation

Staer, Arsenio and Jacquot, Marcel, Social Media and Investor Returns: The Case of Reddit (November 12, 2018). Available at SSRN: https://ssrn.com/abstract=3282828

Arsenio Staer (Contact Author)

California State University, Fullerton, Mihaylo College of Business & Economics, Department of Finance ( email )

PO Box 34080
Fullerton, CA 92834-9480
United States

Marcel Jacquot

California State University, Fullerton, Mihaylo College of Business & Economics, Department of Finance, Students ( email )

PO Box 34080
Fullerton, CA
United States

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