Affect and stock returns
Research output: Journal contributions › Journal articles › Research › peer-review
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 language | English |
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Journal | Journal of Behavioral and Experimental Finance |
Volume | 18 |
Pages (from-to) | 76-84 |
Number of pages | 9 |
ISSN | 2214-6350 |
DOIs | |
Publication status | Published - 06.2018 |
- Affect, Asset pricing model, Factor model, Social media, Stock returns
- Economics
- Management studies