Affect and stock returns

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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.

Original languageEnglish
JournalJournal of Behavioral and Experimental Finance
Volume18
Pages (from-to)76-84
Number of pages9
ISSN2214-6350
DOIs
Publication statusPublished - 06.2018

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