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Air pollution, investor sentiment and excessive returns
Journal of Asset Management Pub Date : 2021-03-01 , DOI: 10.1057/s41260-021-00206-4
Matthew Muntifering

This paper extends the asset pricing literature by offering a proprietary index of negative investor sentiment linked to carbon monoxide (CO), nitrogen dioxide (NO2), ozone particle (O3), 2.5 mm particulate matter (PM2.5), and sulfur dioxide (SO2) levels; determining the link between New York City air pollution and stock market returns. Kindly note that Food products and wholesale portfolio returns on average increase with enhanced negative investor sentiment. This is consistent with behaviors associated with psychological stress, like binge eating and shopping sprees. Personal services portfolio returns decrease on average with increased negative investor sentiment, consistent with behavioral isolationism.



中文翻译:

空气污染,投资者情绪和超额收益

本文通过提供与一氧化碳(CO),二氧化氮(NO 2),臭氧颗粒(O 3),2.5毫米颗粒物(PM 2.5)和二氧化硫有关的负面投资者情绪的专有指数,扩展了资产定价文献。(SO 2)水平;确定纽约市空气污染与股票市场收益之间的联系。请注意,随着负面投资者情绪的增强,食品和批发投资组合的收益平均增加。这与与心理压力相关的行为一致,例如暴饮暴食和购物狂潮。个人服务投资组合收益平均下降,而负的投资者情绪增加,这与行为孤立主义相一致。

更新日期:2021-03-14
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