Review and Update of Social Media-Based Sentiment Signals

In this research note, we update our social media and alternative data-based signals. We have built a proprietary database of comments from the WallStreetBets sub-reddit extending back over two years. We have two products around this database; (1) the Reddit Alert list[1], which includes stocks that have seen an increase in their popularity, and (2) a short-term market indicator[2] based on aggregate sentiment. We update the members and performance of the Reddit Alert list and provide an update on the sentiment indicator.  

We also previously introduced a signal based on the application of natural language processing (NLP) to earnings call transcripts[3]. We found that this signal produces excess return relative to the S&P 500, and that this excess return is uncorrelated to returns provided by standard risk factors. We update this signal through the recently concluded earnings season and provide a list of favored and disfavored stocks.

Reddit-Based Indicators

We start with the Reddit Alert list. Recall that the Reddit Alert list includes stocks that have seen a recent pickup in their mentions on WallStreetBets, along with an increase in trading activity for either the shares or associated options. Aft...

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