Affect is a critical construct in marketing, particularly within the area of branding. Despite the extensive body of research on affect in marketing, there appears to be a substantial and surprising gap in the literature as it relates to one type of emotion: wonder. Wonder has been referred to as "humanity’s most important emotion" (Prinz 2013) and as "the first of all emotions" (Descartes 1649). Adam Smith, often referred to the father of capitalism, considered wonder to be "crucial for science and innovation" (Smith 1869). Yet, despite the recognition of the importance of wonder for over 350 years, it barely has been studied. This may be because wonder is a complex, higher-order, meta-cognitive and meta-affective emotion, and hence difficult to study. The motivation of this research is to fill this substantial gap. The goal of this research is to better understand the construct of brand wonder and further understand how it could be used. By better understanding brand wonder, marketers may gain insights into how and why consumers connect with their brands and products. This study employs Hunt's indigenous theory development, inductive realist methodology to develop an initial theoretical framework. This methodology is ideal for relatively new research areas, and its rigor and relevance has been well documented in the marketing literature. This initial theoretical foundation could potentially accelerate future academic research on wonder in branding and marketing, as well as facilitate the development of more effective branding strategies. This research also includes an exploratory empirical analysis using a textual analytics methodology to further our insight on the topic. Finally, the dissertation concludes with directions for future research.