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

Shiqi Chen, Yiwei Wang, Huiyi Zhang, Jie Zhou
pp.399-406 DOI: 10.62051/xhj6bx84 November 27, 2025
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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.
Keywords: Music sentiment; Asset pricing; Asymmetry; Cross-sectional stock returns.
APA Citation: Shiqi Chen, Yiwei Wang, Huiyi Zhang, Jie Zhou (2025). Music sentiment and the cross-section of stock returns in the US. Transactions on Economics, Business and Management Research, 15(1), 399-406. https://doi.org/10.62051/xhj6bx84

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