Network through Social Media Connections, with Huaixin Wang (Tsinghua), available at SSRN.
Using text data from Reddit, we construct inter-firm linkages based on shared discussions and common authors on social media. We find that firms linked on social media have similar fundamentals characteristics. The positive predictability of the returns of their Reddit peer stocks on focal stocks' future returns suggests a sluggish dissemination of information. Our findings show that social media activities capture the collective cognition of the public, effectively reflecting the financial network in an implicit way.
Presentations: AFA Poster Session 2025, European Financial Management Association Annual Meeting 2023, Asian Finance Conference 2023*, 13th Financial Markets and Corporate Governance Conference 2023, China Finance Annual Meeting 2023, Renmin University Workshop, PBCSF Xinyuan Workshop
* Presented by coauthors