Information Asymmetry, Individual Investor Attention and Social Media Analysts’ Information Production

Abstract

This study examines how information asymmetry and individual investor attention affect the information production of self-proclaimed analysts on social media (social media analysts or SMAs thereafter). Due to individual investors’ low sophistication and limited attention, SMAs are more likely to provide research for stocks with higher individual investor attention, but there is no evidence that SMAs follow stocks with higher information asymmetry, even though they are expected to provide more profit opportunities. Higher individual investor attention leads SMAs to issue lower quality stock recommendations. We find no evidence that SMAs who provide higher quality research survive longer on social media.