Music sentiment and stock returns around the world

• 成果类型: Article
• 署名作者: Edmans, Alex; Fernandez-Perez, Adrian; Garel, Alexandre; Indriawan, Ivan
• 署名单位: University of London; London Business School; Auckland University of Technology; Audencia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.08.014
• 发表日期: 2022
• 页码: 234-254
• 关键词: Investor sentiment; Investor mood; behavioral finance

摘要

This 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. (C) 2021 Elsevier B.V. All rights reserved.