Affect and stock returns

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

Authors

We argue that affect plays an important role in pricing models for stocks. We exploit a novel dataset of opinions shared on a social media platform to quantify the affect associated with stocks. We show that individual stock opinions collected from a social media platform systematically differ from other risk factors and qualify as an additional factor in asset pricing models. Stocks with high affect feature smaller risk premiums.

OriginalspracheEnglisch
ZeitschriftJournal of Behavioral and Experimental Finance
Jahrgang18
Seiten (von - bis)76-84
Anzahl der Seiten9
ISSN2214-6350
DOIs
PublikationsstatusErschienen - 06.2018

DOI