Table 3.
Reddit strategy performance
| One day | One week | One month | One year | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Long | Short | L–S | Long | Short | L–S | Long | Short | L–S | Long | Short | L–S | |
| Rm—Rf | 1.035*** | 1.187*** | 0.036 | 1.057*** | 1.070*** | 0.051 | 1.049*** | 1.073*** | 0.005 | 1.059*** | 1.062*** | − 0.002 |
| (0.049) | (0.073) | (0.078) | (0.030) | (0.035) | (0.042) | (0.020) | (0.022) | (0.027) | (0.015) | (0.013) | (0.011) | |
| SMB | − 0.109 | 0.069 | − 0.126 | − 0.080 | 0.051 | − 0.103 | − 0.037 | − 0.022 | − 0.008 | − 0.105*** | − 0.109*** | 0.005 |
| (0.087) | (0.165) | (0.154) | (0.055) | (0.066) | (0.079) | (0.037) | (0.039) | (0.047) | (0.028) | (0.023) | (0.022) | |
| HML | − 0.283*** | − 0.320** | − 0.047 | − 0.171*** | − 0.170** | 0.003 | − 0.225*** | − 0.135*** | − 0.083* | − 0.214*** | − 0.169*** | − 0.045* |
| (0.073) | (0.162) | (0.161) | (0.053) | (0.075) | (0.088) | (0.035) | (0.044) | (0.050) | (0.031) | (0.025) | (0.026) | |
| MOM | 0.026 | − 0.176 | 0.184 | 0.103** | 0.057 | 0.057 | 0.071*** | 0.004 | 0.077** | 0.037* | − 0.004 | 0.040** |
| (0.063) | (0.128) | (0.121) | (0.041) | (0.060) | (0.070) | (0.024) | (0.032) | (0.037) | (0.019) | (0.018) | (0.017) | |
| RMW | 0.102 | − 0.404 | 0.346 | 0.111 | 0.028 | 0.039 | 0.205*** | − 0.012 | 0.217** | 0.302*** | 0.120** | 0.182*** |
| (0.114) | (0.286) | (0.253) | (0.079) | (0.130) | (0.139) | (0.058) | (0.080) | (0.088) | (0.051) | (0.057) | (0.057) | |
| CMA | − 0.360** | − 0.231 | − 0.169 | − 0.449*** | − 0.142 | − 0.327** | − 0.573*** | − 0.326*** | − 0.247** | − 0.685*** | − 0.412*** | − 0.273*** |
| (0.147) | (0.391) | (0.360) | (0.097) | (0.142) | (0.160) | (0.083) | (0.094) | (0.098) | (0.077) | (0.068) | (0.068) | |
| Daily alphas (%) | − 0.022 | − 0.135 | 0.067 | − 0.035 | − 0.104* | 0.065 | − 0.015 | − 0.008 | − 0.009 | − 0.009 | − 0.007 | − 0.006 |
| (0.055) | (0.106) | (0.094) | (0.035) | (0.053) | (0.057) | (0.019) | (0.031) | (0.032) | (0.015) | (0.015) | (0.016) | |
| N | 1443 | 1051 | 1443 | 2146 | 1858 | 2146 | 2250 | 2102 | 2250 | 2253 | 2249 | 2253 |
| R2 | 0.242 | 0.153 | 0.006 | 0.359 | 0.226 | 0.004 | 0.629 | 0.431 | 0.013 | 0.747 | 0.741 | 0.031 |
Reports the performance of the Reddit strategy for the full sample. Alphas are in percent and standard errors are reported in parentheses. Rm–Rf is the value-weighted return on the market portfolio of all sample stocks minus the one-month Treasury bill rate. SMB is the average return on the nine small stock portfolios minus the that on the nine big stock portfolios; HML is the return on a factor that longs the two value portfolios and shorts the two growth portfolios; CMA is the average return on the two conservative investment portfolios minus those on the two aggressive investment portfolios; RMW is the return from buying two robust operating profitability portfolios and selling two weak operating profitability portfolios. MOM is the average return on the two high prior returns portfolios minus the average return from two low prior return portfolios, in which both high and low prior returns were determined using prior 2–12 months returns. ***, **, and * denote significance of coefficients at the 1%, 5%, and 10% levels, respectively