Affect and stock returns

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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Affect and stock returns. / Breitmayer, Bastian; Pelster, Matthias.
in: Journal of Behavioral and Experimental Finance, Jahrgang 18, 06.2018, S. 76-84.

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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Breitmayer B, Pelster M. Affect and stock returns. Journal of Behavioral and Experimental Finance. 2018 Jun;18:76-84. doi: 10.1016/j.jbef.2018.01.009

Bibtex

@article{46037046cc7e4846811185378570547b,
title = "Affect and stock returns",
abstract = "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.",
keywords = "Affect, Asset pricing model, Factor model, Social media, Stock returns, Economics, Management studies",
author = "Bastian Breitmayer and Matthias Pelster",
year = "2018",
month = jun,
doi = "10.1016/j.jbef.2018.01.009",
language = "English",
volume = "18",
pages = "76--84",
journal = "Journal of Behavioral and Experimental Finance",
issn = "2214-6350",
publisher = "Elsevier B.V.",

}

RIS

TY - JOUR

T1 - Affect and stock returns

AU - Breitmayer, Bastian

AU - Pelster, Matthias

PY - 2018/6

Y1 - 2018/6

N2 - 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.

AB - 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.

KW - Affect

KW - Asset pricing model

KW - Factor model

KW - Social media

KW - Stock returns

KW - Economics

KW - Management studies

UR - http://www.scopus.com/inward/record.url?scp=85044946045&partnerID=8YFLogxK

U2 - 10.1016/j.jbef.2018.01.009

DO - 10.1016/j.jbef.2018.01.009

M3 - Journal articles

AN - SCOPUS:85044946045

VL - 18

SP - 76

EP - 84

JO - Journal of Behavioral and Experimental Finance

JF - Journal of Behavioral and Experimental Finance

SN - 2214-6350

ER -

DOI