Air pollution, investor sentiment and excessive returns

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 (O-3), 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.