Social Media Analysts’ Skill: Evidence from Text-Implied Beliefs
研究发现56%的非专业社交媒体投资分析师具备技能，其信念能产生正异常收益；高技能分析师（占13%）的周三因子阿尔法为61个基点，主要特征是企业与行业专长。
Abstract This paper documents that 56% of nonprofessional social media investment analysts (SMAs) are skilled and declare beliefs that generate positive abnormal returns (ABRs), while 44% produce negative ABRs. 13% of all SMAs are high-skill type and produce a 1-week 3-factor alpha of 61 bps, while the remaining 87% generate only 6 bps. The distinctive features of high-skill SMAs are primarily firm and industry specializations. Although SMAs tend to extrapolate and herd, their expectations are not systematically wrong. For higher-skilled SMAs compared to the less-skilled ones, extrapolation fades more quickly, and herding is lower, consistent with theory.