Affect and stock returns

Bastian Breitmayer; Matthias Pelster

doi:10.1016/j.jbef.2018.01.009

Affect and stock returns

Bastian Breitmayer
, Matthias Pelster^*

^*Corresponding author for this work

University of Paderborn

Research output: Journal contributions › Journal articles › Research › peer-review

2 Citations (Scopus)

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.

Original language	English
Journal	Journal of Behavioral and Experimental Finance
Volume	18
Pages (from-to)	76-84
Number of pages	9
ISSN	2214-6350
DOIs	https://doi.org/10.1016/j.jbef.2018.01.009
Publication status	Published - 06.2018

Research areas and keywords

Affect
Asset pricing model
Factor model
Social media
Stock returns
Economics
Management studies

ASJC Scopus Subject Areas

Finance

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10.1016/j.jbef.2018.01.009

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@article{46037046cc7e4846811185378570547b,

title = "Affect and stock returns",

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, Asset pricing model, Factor model, Social media, Stock returns, Economics, Management studies",

author = "Bastian Breitmayer and Matthias Pelster",

year = "2018",

month = jun,

doi = "10.1016/j.jbef.2018.01.009",

language = "English",

volume = "18",

pages = "76--84",

journal = "Journal of Behavioral and Experimental Finance",

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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 - https://www.scopus.com/pages/publications/85044946045

U2 - 10.1016/j.jbef.2018.01.009

DO - 10.1016/j.jbef.2018.01.009

M3 - Journal articles

AN - SCOPUS:85044946045

SN - 2214-6350

VL - 18

SP - 76

EP - 84

JO - Journal of Behavioral and Experimental Finance

JF - Journal of Behavioral and Experimental Finance

ER -

Affect and stock returns

Abstract

Research areas and keywords

ASJC Scopus Subject Areas

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Cite this