Social Media and Investor Returns : The Case of Reddit

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