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

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.

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Publication Details

Journal
Journal of risk and financial management
Published
2026-02-02
DOI
https://doi.org/10.3390/jrfm19020098
Primary Topic
Digital Marketing and Social Media
Type
article
Field-Weighted Citation Impact
0.00
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article

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

Yinge Zhang, Yuqi Han, Dan Luo
Journal of risk and financial management
Digital Marketing and Social Media
article

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

Yinge Zhang, Yuqi Han, Dan Luo
article en

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.

Journal of risk and financial managementVol. 19(2)
University of Wyoming (US), University of Tennessee at Chattanooga (US), Wenzhou-Kean University (CN)
Openalex Percentile: Top 73%
Digital Marketing and Social Media
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Stock Liquidity and Social Media Analyst Coverage: Evidence from Tick Size Pilot Program — Yinge Zhang, Yuqi Han, et al. · Journal of risk and financial management (2026) | TGRS Research Map | TGRS