The media short squeeze score

The meme stock phenomenon remains a persistent force in equity markets, with retail investors continuing to exert significant influence – particularly in the small-cap segment. While it has been several years since the first GameStop phenomenon in 2021, an important question remains: How can institutional investors systematically identify potential retail-driven short squeeze events? In this article, we introduce a framework that integrates proprietary and alternative data to identify retail-driven short squeeze risks. Specifically, we combine securities lending market data from S&P Global with proprietary measures of digital media sources and Reddit-based social media chatter – including emoji sentiment and short squeeze intensity.