Working papers

Extreme Views on Reddit: Information or Noise (2024)

This paper studies the intensity of fanatic activity on r/wallstreetbets (WSB), a Reddit forum, and its relationship to price informativeness and the information components driving return variance. By introducing a novel measure, Extreme Views (EV), I quantify fanatic attention to NYSE and NASDAQ stocks from 2018 to 2023. The findings show that increased exposure to posts with fanatic language on WSB is significantly associated with a higher share of variance attributed to public information and a reduced noise component. Although the negative impact on price informativeness is sporadic, the results suggest that investors using social media for information should be cautious of fanatic investment advice, as the prices of stocks popular among fanatics tend to be less informative about future fundamentals.

Work in progress

Large Traders in Segmented Markets (Draft coming soon)

This paper studies the effect of large strategic investors on price efficiency and the spillover of price impact across markets, which is an important concern for financial regulators. The static two-period model features two correlated assets, and investors of different sizes, who are heterogeneous in their investment opportunities, generating heterogeneous trading motives. The model yields novel results on the impact of imperfect competition on price informativeness and its impact on demand in segmented markets. The model can be applied to green bond and carbon futures markets, highlighting implications that are crucial for supporting the green transition.

Master’s thesis

Forecasting Realized Variance: A Comparison between HAR and ARFIMA models (2021)