Stock Liquidity and Social Media Analyst Coverage: Evidence from Tick Size Pilot Program

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Authors: Yuqi Han, Dan Luo, Yinge Zhang
Cited by: 1
References: 34

Abstract

Social media analysts (SMAs) on venues such as Seeking Alpha have become an important information intermediary for retail investors, particularly for smaller firms that receive limited attention from traditional channels. This study examines the effects of the wider tick size on social media analyst coverage in the U.S. capital market. Using the SEC’s 2016–2018 Tick Size Pilot Program as a quasi-natural experiment and a difference-in-differences design on approximately 2400 small-cap stocks, we find that wider tick size leads to a significant decline in the number of articles and unique contributors for treated firms. This effect is particularly strong for stocks with initially narrow bid–ask spreads. Furthermore, we find no significant change in the sentiment and quality of SMAs’ reports, indicating that the decrease in coverage is primarily driven by liquidity considerations rather than fundamental changes in the firms. These results imply that market microstructure reforms can inadvertently weaken the retail investor information ecosystem by discouraging independent research production.

Fields of Study & Subjects

Digital Marketing and Social Media Auditing Earnings Management Governance Financial Markets and Investment Strategies

Publication details

Journal / source
Journal of risk and financial management
Publisher
MDPI AG
Volume
19
Issue
2
Pages
98–98
Publication date
2 February 2026
Language
EN