Affect and stock returns

Bastian Breitmayer and Matthias Pelster

Journal of Behavioral and Experimental Finance, 2018, vol. 18, issue C, 76-84

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; Social media; Asset pricing model; Factor model; Stock returns (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:18:y:2018:i:c:p:76-84

DOI: 10.1016/j.jbef.2018.01.009

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