Music sentiment and stock returns : A structural break in sentiment dynamics

Title data

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: https://doi.org/10.1016/j.frl.2026.110071

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Abstract in another language

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.