In the Red(dit): Social Media and Stock Prices
James Baker
Spearheaded by retail traders on the website reddit, the GameStop short
squeeze of early 2021 shows that social media embeds information that
correlates with market movements. This paper seeks to examine this relationship
by using daily frequencies of classified comments and buzzwords as additional
factors in a Fama-French three factor model. Comments are classified using an
unsupervised clustering method, while past studies have used pretrained models
that are not specific to the domains being studied.