Music sentiment and stock returns around the world

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dc.contributor.authorEdmans, A.
dc.contributor.authorFernandez-Perez, A.
dc.contributor.authorGarel, A.
dc.contributor.authorIndriawan, I.
dc.date.issued2022
dc.description.abstractThis paper introduces a real-time, continuous measure of national sentiment that is language-free and thus comparable globally: the positivity of songs that individuals choose to listen to. This is a direct measure of mood that does not pre-specify certain mood- affecting events nor assume the extent of their impact on investors. We validate our music- based sentiment measure by correlating it with mood swings induced by seasonal factors, weather conditions, and COVID-related restrictions. We find that music sentiment is pos- itively correlated with same-week equity market returns and negatively correlated with next-week returns, consistent with sentiment-induced temporary mispricing. Results also hold under a daily analysis and are stronger when trading restrictions limit arbitrage. Mu- sic sentiment also predicts increases in net mutual fund flows, and absolute sentiment precedes a rise in stock market volatility. It is negatively associated with government bond returns, consistent with a flight to safety.
dc.description.statementofresponsibilityAlex Edmans, Adrian Fernandez-Perez, Alexandre Garel, Ivan Indriawan
dc.identifier.citationJournal of Financial Economics, 2022; 145(2, Part A):234-254
dc.identifier.doi10.1016/j.jfineco.2021.08.014
dc.identifier.issn0304-405X
dc.identifier.issn0304-405X
dc.identifier.orcidIndriawan, I. [0000-0002-6558-5551]
dc.identifier.urihttps://hdl.handle.net/2440/145944
dc.language.isoen
dc.publisherElsevier
dc.rights© 2021 Elsevier B.V. All rights reserved.
dc.source.urihttps://doi.org/10.1016/j.jfineco.2021.08.014
dc.subjectInvestor sentiment; Investor mood; Behavioral finance
dc.titleMusic sentiment and stock returns around the world
dc.typeJournal article
pubs.publication-statusPublished

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