Social interaction, volatility clustering, and momentum
将信息不确定性和投资者社会互动纳入随机效用框架，构建动态均衡模型，发现强社会互动可导致投资者群体选择的内生切换，同时产生波动率聚集和动量效应，并用StockTwits发帖量作为代理变量提供了实证证据。
This paper incorporates information uncertainty and social interaction among investors into a random utility framework and develops a dynamic equilibrium model of asset pricing and investor choice. We show that strong social interaction can lead to endogenous switching between two persistent regimes for the mean choice fraction of investor population, which can simultaneously generate volatility clustering and time-series momentum in asset returns . By using StockTwits post volume as a proxy for social interaction, we provide empirical evidence for the model predictions for various equity indices.