Affect and stock returns
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Affect and stock returns. / Breitmayer, Bastian; Pelster, Matthias.
In: Journal of Behavioral and Experimental Finance, Vol. 18, 06.2018, p. 76-84.Research output: Journal contributions › Journal articles › Research › peer-review
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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 -