Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/309810 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Digital Finance [ISSN:] 2524-6186 [Volume:] 5 [Issue:] 2 [Publisher:] Springer International Publishing [Place:] Cham [Year:] 2023 [Pages:] 421-448
Verlag: 
Springer International Publishing, Cham
Zusammenfassung: 
This study investigates stock recommendations from the three largest finance subreddits on Reddit: wallstreetbets, investing and stocks. A simple strategy that buys recommended stocks weighted by the number of posts per day yields a portfolio with higher average returns at the expense of higher risks than the market for all holding periods, i.e., unfavorable Sharpe ratios. Furthermore, the strategy leads to positive (insignificant) short-term and negative (significant) long-term alphas when considering common risk factors. This is consistent with the idea of "meme stocks", meaning that the recommended stocks are artificially inflated in the short term when they are recommended, and that the posts contain no information about long-term success. However, it is likely that Reddit users, especially on the subreddit wallstreetbets, have preferences for bets which are not captured by the mean–variance framework. Therefore, we draw on cumulative prospect theory (CPT). We find that the CPT-valuations of the Reddit portfolio exceed those of the market, which may explain the persistent attractiveness for investors to follow social media stock recommendations despite the unfavorable risk-return ratio.
Schlagwörter: 
Behavioral finance
Prospect theory
Reddit
Social media
Stock return
JEL: 
G11
G12
G14
G41
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Dokumentart: 
Article
Dokumentversion: 
Published Version

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