This paper documents empirical regularities in the relationship between social media discussion and short-horizon stock returns during the January 2021 retail coordination episode. Using 23,746 posts from Reddit’s r/pennystocks community matched to daily stock prices, we establish three stylized facts. First, the association between discussion intensity and subsequent returns is strongly regime dependent. During normal market conditions, discussion intensity is not meaningfully related to post-event returns, whereas during January 2021 it is positively associated with short-horizon price movements. Second, this regime dependence is not driven solely by market-wide conditions: within the coordination period, stocks receiving higher discussion exhibit stronger return performance, while no comparable cross-sectional differentiation appears during normal periods. Third, post-event returns display a nonlinear relationship with recent price run-ups, characterized by continuation at moderate levels and sharp reversal following extreme gains. These findings provide systematic descriptive evidence on platform-based retail coordination and offer empirical foundations for future theoretical and causal research.
