Happiness and IPO performance

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2025-03-29 DOI:10.1016/j.jbef.2025.101044

Konpanas Dumrongwong , Suwongrat Papangkorn

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Abstract

This study investigates the relationship between investor sentiment and stock market performance using a novel approach: the X-based happiness index. Analyzing U.S. firms from 2008 to 2023, we employ both ordinary least squares (OLS) and quantile regression techniques to examine potential nonlinear relationships. While OLS results show a positive association between happiness and returns, our quantile regression analysis reveals a more nuanced relationship: the positive correlation is present across all quantiles but achieves statistical significance exclusively in the upper quantile. This asymmetric effect suggests that happiness exerts its strongest influence during periods of high returns, with tests confirming that the effect in the highest quantile significantly differs from other market conditions. Our findings contribute to behavioral finance literature by demonstrating how social media-derived sentiment measures can capture market dynamics missed by traditional indicators, suggesting investors should pay particular attention to happiness indicators during strong market performance.

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本研究采用一种新方法：基于 X 的幸福指数，研究投资者情绪与股市表现之间的关系。在分析 2008 年至 2023 年的美国公司时，我们采用了普通最小二乘法（OLS）和量子回归技术来研究潜在的非线性关系。虽然 OLS 结果显示幸福感与回报率之间存在正相关关系，但我们的量化回归分析却揭示了一种更为微妙的关系：正相关关系存在于所有量化值中，但只有在上量化值中达到了统计显著性。这种非对称效应表明，幸福感在高回报时期会产生最强的影响，测试证实，最高量级的影响与其他市场条件显著不同。我们的研究结果证明了社交媒体衍生的情绪指标如何捕捉传统指标所遗漏的市场动态，从而为行为金融学文献做出了贡献，建议投资者在市场表现强劲时应特别关注幸福感指标。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.