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Weiberg, Alicia ; Heldmann, Jan:
Music sentiment and stock returns : A structural break in sentiment dynamics.
In: Finance Research Letters.
Vol. 102
(2026)
.
- 110071.
ISSN 1544-6131
DOI der Verlagsversion: https://doi.org/10.1016/j.frl.2026.110071
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Abstract
Edmans et al. (2022) show that more positive music sentiment predicts higher same-week returns followed by a reversal next week, with absolute sentiment linked to volatility and a flight-to-safety pattern in government bonds. We replicate these results for the original study period of 2017–2020. However, for 2021–2024, the one-week return reversal, the signature pattern of sentiment-induced temporary mispricing, disappears entirely. Supporting this, the sentiment-volatility link vanishes and the flight-to-safety relation inverts, together indicating a structural break in the sentiment-market relationship. The evidence is consistent with a more macro-dominated post-2020 environment in which sentiment and asset prices co-move in response to common news rather than through persistent behavioral channels, although alternative explanations cannot be ruled out. Our findings raise caution about applying pre-2020 sentiment patterns in trading or modelling.
Further data
| Item Type: | Article in a journal |
|---|---|
| Keywords: | Music sentiment; Investor sentiment; Return predictability; Structural break; Asset pricing |
| DDC Subjects: | 300 Social sciences > 330 Economics |
| Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Business Administration > Chair Business Administration I - Finance and Banking Management Faculties Faculties > Faculty of Law, Business and Economics Faculties > Faculty of Law, Business and Economics > Department of Business Administration |
| Language: | English |
| Originates at UBT: | Yes |
| URN: | urn:nbn:de:bvb:703-epub-9517-6 |
| Date Deposited: | 24 Jul 2026 12:48 |
| Last Modified: | 24 Jul 2026 12:48 |
| URI: | https://epub.uni-bayreuth.de/id/eprint/9517 |
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