Social media has reshaped business models, economies, politics, and culture around the world. In this paper, we identified social media stocks from various sectors by using a strict, academic definition and then studied their performance and return characteristics. Multivariate regression results demonstrate that being recognized as a social media firm yields extra return. The performance of social media stocks is not associated with macro-level sentiment, but rather with firm-level attention paid by potential investors. Causality tests indicate that the default risk premium and volatility have incremental power in explaining the performance of social media stocks