arbiter
JournalsPricingAccount

Investor Emotions and Asset Prices

Shehub Bin Hasan et al.

Financial Analysts Journal2025https://doi.org/10.1080/0015198x.2025.2509485article
AJG 3ABDC A
Weight
0.37

What the paper says

We develop a new emotion-based market-level sentiment indicator to measure the emotional state of the market. Using this aggregate series, we compute firm-level sensitivity to shifts in market-level emotions and find that stocks with high-emotion betas outperform low-emotion-beta firms. This performance differential is corrected in about six months. A trading strategy that takes a long (short) position in high- (low-) emotion beta stocks generates an annualized alpha of more than 6%. This evidence of emotion-based predictability is distinct from the known pricing effects of mood, traditional sentiment measures, economic and policy uncertainty, and tone.

1 citation

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1080/0015198x.2025.2509485

Or copy a formatted citation

@article{shehub2025,
  title        = {{Investor Emotions and Asset Prices}},
  author       = {Shehub Bin Hasan et al.},
  journal      = {Financial Analysts Journal},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1080/0015198x.2025.2509485},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Investor Emotions and Asset Prices

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.