Do investors and managers of active ETFs react to social media activities?

Social media activities are a proxy for non-fundamental forces that contribute to ETF premium. Greater social media coverage of an active ETF's holdings predicts a greater ETF premium on the next trading day. Active-ETF managers are more likely to sell underlying stocks which experience more bearish social media sentiment the previous day. The findings suggest that social media activities help investors who are subject to limited attention decide which ETFs to buy, and that active-ETF managers may cater to investors' preferences by considering social media sentiment in their investment decision making.