Chacon Ryan G, Morillon Thibaut G, Wang Ruixiang
Department of Finance, University of Colorado, 1420 Austin Bluffs Pkwy, Colorado Springs, CO 80918 USA.
Department of Finance, Koury Business Center, Elon University, 401 North O'Kelly Avenue, Elon, NC 27244 USA.
Financ Mark Portf Mang. 2023;37(1):1-25. doi: 10.1007/s11408-022-00415-w. Epub 2022 Jun 21.
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.
2021年初，几只受到散户交易者关注的股票，即所谓的“网红股”，股价飙升。有关这些股票的主要信息来源是社交媒体平台Reddit，具体来自一个名为“华尔街赌注”（WSB）的子版块。本文研究了一种简单且易于实施的、追随“华尔街赌注”子版块的交易策略是否能够产生超额收益。我们没有发现证据表明情况确实如此。尽管我们确实观察到“华尔街赌注”的帖子与异常交易量之间存在正相关关系，但我们发现，一个每天做多买入推荐股票、做空卖出推荐股票的投资组合，在经过风险调整后并不盈利。从一天到一年的持有期都未能产生超额收益。这些发现对于各种不同的投资组合构建策略都是稳健的。我们的结果让我们得以在社交媒体激发的散户投资兴趣激增之后，尽早审视相关数据。
