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. © 2022, The Author(s) under exclusive licence to Swiss Society for Financial Market Research.
The available download on this page is the author manuscript accepted for publication. This version has undergone full peer review but has not been through the copyediting, typesetting, pagination and proofreading process.
Financial Markets and Portfolio Management
Chacon, Ryan G.; Morillon, Thibaut G.; and Wang, Ruixiang, "Will the reddit rebellion take you to the moon? Evidence from WallStreetBets" (2023). School of Management. 202.
Published source must be acknowledged with citation: Chacon, Ryan G., Thibaut G. Morillon, and Ruixiang Wang. "Will the reddit rebellion take you to the moon? Evidence from WallStreetBets." Financial Markets and Portfolio Management 37.1 (2023): 1-25. Must link to publisher version with DOI: https://doi.org/10.1007/s11408-022-00415-w