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The Role of Reddit in the GameStop Short Squeeze

Abhinav Anand and Jalaj Pathak
2021
Working Paper No
644
Body

Adapting recent innovations in text analysis on microblogging platforms, we present evidence that the tone of discussions on the subredditt r/wallstreetbets (WSB) displayed significant predictive associations with intraday GameStop returns, volatility, bid-ask spreads as well as volumes. Most importantly, we show that the comment distribution on the subreddit obeyed a power law, and that it was a tiny minority of 462 most influential subredditors whose posts most impacted the GME stock returns and volatility.

Key words
Short Squeeze, GameStop, WallStreetBets
WP No. 644.pdf (604.51 KB)

The Role of Reddit in the GameStop Short Squeeze

Author(s) Name: Abhinav Anand and Jalaj Pathak, 2021
Working Paper No : 644
Abstract:

Adapting recent innovations in text analysis on microblogging platforms, we present evidence that the tone of discussions on the subredditt r/wallstreetbets (WSB) displayed significant predictive associations with intraday GameStop returns, volatility, bid-ask spreads as well as volumes. Most importantly, we show that the comment distribution on the subreddit obeyed a power law, and that it was a tiny minority of 462 most influential subredditors whose posts most impacted the GME stock returns and volatility.

Keywords: Short Squeeze, GameStop, WallStreetBets
WP No. 644.pdf (604.51 KB)