Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7296624 | Journal of Behavioral and Experimental Finance | 2018 | 9 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics, Econometrics and Finance (General)
Authors
Bastian Breitmayer, Matthias Pelster,