Systematic Risk Coefficient and Sentiment: Peculiarities of Sentiment Affected Companies in US Tourism Industry

Abstract

This paper investigates the role that investor sentiment plays in asset pricing and risk measure, research will focus on the relationship that came from the point that a firm stock level is a derivative not only of a fundamental rational environment but at the same time is a part of a human mental being, reflecting personal sentiment and group narratives. In the current paper we incorporate behavioral sentiment variables into beta model, analyzing cluster peculiarities of sentiment dependent companies in US tourism industry, finding out which type of companies has strong regression between beta and sentiment. We found that the level of regression between systematic\risk coefficient and sentiment is dependent on period of sentiment, it is stronger during high and low sentiment period. We also found that high-low period of sentiment affects differently on companies from different clusters and sentiment affected companies have low level of financial stability.