Music sentiment and stock returns around the world
| Autor: | Alexandre Garel, Ivan Indriawan, Adrian Fernandez-Perez, Alex Edmans |
|---|---|
| Přispěvatelé: | Audencia Business School |
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: |
Economics and Econometrics
Strategy and Management Mood swing Direct measure Accounting 0502 economics and business Econometrics Economics medicine Mutual fund Stock (geology) ComputingMilieux_MISCELLANEOUS 040101 forestry 050208 finance [QFIN]Quantitative Finance [q-fin] business.industry 05 social sciences Equity (finance) 04 agricultural and veterinary sciences Mood Government bond 0401 agriculture forestry and fisheries Arbitrage medicine.symptom business Finance |
| Zdroj: | Journal of Financial Economics Journal of Financial Economics, Elsevier, 2021, ⟨10.1016/j.jfineco.2021.08.014⟩ |
| ISSN: | 0304-405X |
| Popis: | 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 positively 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. Music 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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