社会传染与资产价格：Reddit 的自组织牛市
Social contagion and asset prices: Reddit's self-organised bull runs
AI总结：
本文利用机器学习从 Reddit 的 WallStreetBets 论坛提取炒作交易者情绪，研究社会传染对资产价格的影响，发现同伴效应可解释收益可预测性、反转与泡沫动态，并实证证明散户话语能预测价格且放大市场影响。
摘要：
来自社交媒体的非结构化文本数据能否帮助解释大规模资产价格波动的驱动因素？本文通过使用机器学习工具提取活跃于 Reddit 的 WallStreetBets（WSB）论坛上的“炒作”交易者的信念和头寸，研究社会力量如何影响资产价格。我们的程式化模型表明，同伴效应有助于解释收益可预测性和反转，以及泡沫动态。我们实证记录了 WSB 用户对资产未来表现（看涨或看跌）所表达的情绪部分源于其同伴的情绪和过去的资产收益。本文直接估计了 WSB 活动对资产价格的影响。我们记录了：通过使用 Trade and Quote（TAQ）数据，散户交易者需求跟随 WSB 讨论；价格可从散户交易者话语中预测；来自网上病毒式传播内容的异质投资者情绪具有放大的市场影响；以及炒作投资者对市场泡沫的敞口更大。
英文摘要：
Can unstructured text data from social media help explain the drivers of large asset price fluctuations? This paper investigates how social forces affect asset prices, by using machine learning tools to extract beliefs and positions of `hype' traders active on Reddit's WallStreetBets (WSB) forum. Our stylized model shows that peer effects help explain return predictability and reversals, as well as bubble dynamics. We empirically document that sentiments expressed by WSB users about assets' future performances (bullish or bearish) are in part due to sentiments of their peers and past asset returns. The paper directly estimates the effect of WSB activity on asset prices. We document: that retail trader demand follows WSB discussions through using Trade and Quote (TAQ) data, the predictability of prices from retail trader discourse, the amplified market impact of idiosyncratic investor sentiment from viral content online, and the greater exposure of hype investors to bubbles in the markets.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
