Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 9, 2023 erstellt
Beschreibung:
Social media activities reflect the collective perception of connectedness between firms, thereby providing an implicit representation of the financial network. Exploiting text data from the Reddit platform, we identify economically connected firms implied by online messages. We construct inter-firm linkages based on either shared Reddit posts or shared Reddit authors and show that Reddit-linked firms exhibit correlated fundamentals across various characteristics. Furthermore, the returns of Reddit peer stocks have a strong predictive ability for focal stocks' future returns. The Reddit lead-lag effect is distinct from other cross-firm return predictability, and we find evidence in support of the limited attention hypothesis. The results suggest that Reddit linkages help to capture comprehensive and dynamic information about firm connections and provide a new dimension for analyzing the role of social media in financial markets