| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15756 |
| DP15756 Music Sentiment and Stock Returns Around the World | |
| Alex Edmans; Adrian Fernandez; Alexandre Garel; Ivan Indriawan | |
| 发表日期 | 2021-02-01 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 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 and weather conditions. We find that music sentiment is positively correlated with same-week 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 short-sale constraints limit arbitrage. Music sentiment also predicts increases in net mutual fund flows, and absolute sentiment precedes a rise in stock market volatility. |
| 主题 | Financial Economics |
| 关键词 | Investor sentiment Investor mood Behavioral finance |
| URL | https://cepr.org/publications/dp15756 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544758 |
| 推荐引用方式 GB/T 7714 | Alex Edmans,Adrian Fernandez,Alexandre Garel,et al. DP15756 Music Sentiment and Stock Returns Around the World. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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