Music Sentiment and Stock Returns

Fernandez-Perez, Adrian; Garel, Alexandre; Indriawan, Ivan

doi:10.2139/ssrn.3572646

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Music Sentiment and Stock Returns

20 Pages Posted: 6 May 2020

See all articles by Adrian Fernandez-Perez

Adrian Fernandez-Perez

University College Dublin (UCD) - Department of Banking & Finance

Ivan Indriawan

University of Adelaide

Date Written: April 10, 2020

Abstract

We develop a novel measure of investor sentiment based on the valence of songs that individuals listen to. We show that our measure of music sentiment captures seasonal mood swings. We further document that music sentiment is associated with a systematic pattern of mispricing correction. This relation is stronger for stocks with greater limits to arbitrage. Our findings add to a body of literature aiming to measure investor sentiment and study its impact on stock market returns.

Keywords: investor sentiment, music, behavioral finance

Suggested Citation: Suggested Citation

Fernandez-Perez, Adrian and Garel, Alexandre and Indriawan, Ivan, Music Sentiment and Stock Returns (April 10, 2020). Available at SSRN: https://ssrn.com/abstract=3572646 or http://dx.doi.org/10.2139/ssrn.3572646