Abstract
Financial models serve to capture an accurate prediction of a stock’s price. Because these models assume the efficient market hypothesis, they fail when not accounting for irrationality in the market. Using a time series regression analysis, this paper contributes to the literature by modeling irrationality through a price momentum variable. The novelty here is proxying for this price momentum with social media trends, which prove to be statistically significant in financially modeling price changes across multiple sectors.
Advisor
Kelvey, Robert
Second Advisor
Histen, Matthew
Department
Mathematics; Business Economics
Recommended Citation
Myers, Ethan, "A Behavioral Approach To CAPM" (2018). Senior Independent Study Theses. Paper 8001.
https://openworks.wooster.edu/independentstudy/8001
Disciplines
Applied Statistics | Behavioral Economics | Business Analytics | Corporate Finance | Econometrics | Finance | Finance and Financial Management | Longitudinal Data Analysis and Time Series | Portfolio and Security Analysis | Statistical Models
Keywords
Behavioral economics, finance, financial calculus
Publication Date
2018
Degree Granted
Bachelor of Arts
Document Type
Senior Independent Study Thesis
© Copyright 2018 Ethan Myers