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Affect and stock returns

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  • Breitmayer, Bastian
  • Pelster, Matthias

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.

Suggested Citation

  • Breitmayer, Bastian & Pelster, Matthias, 2018. "Affect and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 76-84.
    • Handle: RePEc:eee:beexfi:v:18:y:2018:i:c:p:76-84
    DOI: 10.1016/j.jbef.2018.01.009
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    References listed on IDEAS

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    Cited by:

    1. Gabbi, Giampaolo & Zanotti, Giovanna, 2019. "Sex & the City. Are financial decisions driven by emotions?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 21(C), pages 50-57.

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    More about this item

    Keywords

    Affect; Social media; Asset pricing model; Factor model; Stock returns;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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