Squeezing Shorts Through Social Media Platforms
研究了2021年1月美国股市中社交媒体讨论如何推动散户交易与股价上涨的关联，导致空头挤压，并发现这严重损害了相关股票及其竞争对手的市场质量。
In January 2021, a group of stocks listed on U.S. stock exchanges experienced sudden price increases, which, coupled with high short interest, led to short squeezes. We find that discussions on social media fueled the association between retail trading and subsequent stock returns. Options market activity and securities lending constraints also played a central role. Using unique data from social media platforms, we provide a comprehensive account of these short squeezes. We find that they significantly impeded market quality for the stocks at issue and their competitors. Thus, the interplay between social media and retail traders may have adverse consequences for market quality and efficiency. This paper was accepted by Will Cong, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.02887 .