More Mentions, Less Information? Diagnosing Identity and Alignment in Reddit Embeddings for Volatility Forecasting

Since the 2021 GameStop short squeeze, r/WallStreetBets (WSB) has been associated with episodes of extreme volatility, and its text is increasingly used to forecast volatility. A model using only large language model (LLM) embeddings of WSB posts attains an out-of-sample $R^2$ of 0.13 for log realiz