Music sentiment and the cross-section of stock returns in the US

Authors

  • Shiqi Chen School of Economics and Management, Nanjing University of Science and Technology, Nanjing 210094, China
  • Yiwei Wang School of Economics and Management, Nanjing University of Science and Technology, Nanjing 210094, China
  • Huiyi Zhang School of Economics and Management, Nanjing University of Science and Technology, Nanjing 210094, China
  • Jie Zhou School of Economics and Management, Nanjing University of Science and Technology, Nanjing 210094, China

DOI:

https://doi.org/10.62051/xhj6bx84

Keywords:

Music sentiment; Asset pricing; Asymmetry; Cross-sectional stock returns.

Abstract

This paper examines the role of music sentiment, which endogenously measures investor sentiment, in the cross-sectional pricing of individual stocks in the US. We estimate individual stocks' exposure to country-level music sentiment and find that, following periods of low music sentiment, stocks with the highest sentiment beta significantly outperform those with the lowest sentiment beta on a daily basis in the future on a risk-adjusted basis. However, this return spread is not significant following high-sentiment periods, demonstrating an asymmetric pricing effect. This finding is consistent with the argument that overpricing following high-sentiment periods is more prevalent than underpricing following low-sentiment periods because of short-sale constraints.

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Published

27-11-2025

Issue

Vol. 15 (2025): 4th International Conference on Management Engineering and Economic Analysis (MEEA 2025)

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Articles

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Copyright (c) 2025 Transactions on Economics, Business and Management Research

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How to Cite

Chen, S., Wang, Y., Zhang, H., & Zhou, J. (2025). Music sentiment and the cross-section of stock returns in the US. Transactions on Economics, Business and Management Research, 15, 399-406. https://doi.org/10.62051/xhj6bx84