reddit的叛乱会带你去月球吗?来自WallStreetBets的证据。

IF 1.5 Q3 BUSINESS, FINANCE Financial Markets and Portfolio Management Pub Date : 2023-01-01 DOI:10.1007/s11408-022-00415-w
Ryan G Chacon, Thibaut G Morillon, Ruixiang Wang
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引用次数: 5

摘要

2021年初,几只受到零售交易员关注的股票(被称为“模因股”)价值飙升。有关这些股票的主要信息来源是社交媒体平台Reddit,特别是Reddit的一个名为WallStreetBets (WSB)的分支。本文研究了遵循WallStreetBets (WSB)子reddit的简单且易于实现的交易策略是否可以产生alpha。我们没有证据证明这是真的。虽然我们确实观察到WSB提交与异常交易量之间存在正相关关系,但我们发现,在风险调整的基础上,每天做多买入推荐和做空推荐的投资组合是不盈利的。从一天到一年的持有期都不能产生alpha。这些发现适用于各种不同的投资组合形成策略。我们的研究结果提供了对社交媒体激发的散户投资兴趣爆炸式增长之后的数据的早期观察。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

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

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 WallStreetBets (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.

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来源期刊
CiteScore
3.20
自引率
0.00%
发文量
21
期刊介绍: The journal Financial Markets and Portfolio Management invites submissions of original research articles in all areas of finance, especially in – but not limited to – financial markets, portfolio choice and wealth management, asset pricing, risk management, and regulation. Its principal objective is to publish high-quality articles of innovative research and practical application. The readers of Financial Markets and Portfolio Management are academics and professionals in finance and economics, especially in the areas of asset management. FMPM publishes academic and applied research articles, shorter ''Perspectives'' and survey articles on current topics of interest to the financial community, as well as book reviews. All article submissions are subject to a double-blind peer review. http://www.fmpm.org Officially cited as: Financ Mark Portf Manag
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