Sentiment, social media and meme stock return predictability
Year: 2026
Type: article
Abstract: In this paper, we examine the return predictability of meme stocks identified monthly through textual analysis of Reddit’s r/WallStreetBets forum. We create sentiment indices from Google search volume, Bloomberg Twitter, and Bloomberg news sentiment. Our analysis shows Google search sentiment significantly predicts meme stock returns at medium horizons (3-7 days). Bloomberg news sentiment predicts returns at longer horizons (7-14 days), whereas Bloomberg Twitter sentiment loses predictive power after one trading day. These differences likely reflect platform-specific user characteristics and information dissemination speeds, highlighting how investor sentiment captured across various digital platforms differently impacts meme stock return predictability.
Source: Review of Behavioral Finance
Authors: Jingrui Li, Zijian Li
Institution: Stevens Institute of Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7124970133