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, weather conditions, and COVID-related restrictions. We find that music sentiment is positively correlated with same-week equity 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 trading restrictions limit arbitrage. Music sentiment also predicts increases in net mutual fund flows, and absolute sentiment precedes a rise in stock market volatility. It is negatively associated with government bond returns, consistent with a flight to safety.

本文介绍了一种实时、连续的民族情绪测量方法，该测量方法不受语言限制，因此在全球范围内具有可比性：个人选择听的歌曲的积极性。这是一种直接衡量情绪的方法，不预先指定某些影响情绪的事件，也不假设它们对投资者的影响程度。我们通过将基于音乐的情绪测量与季节性因素、天气条件和 COVID 相关限制引起的情绪波动相关联来验证我们的情绪测量。我们发现，音乐情绪与当周股市回报呈正相关，与下周回报呈负相关，这与情绪引发的临时错误定价一致。结果在每日分析下也成立，并且在交易限制限制套利时更强。音乐情绪还预测共同基金净流量的增加，绝对情绪先于股市波动性上升。它与政府债券回报呈负相关，与避险行为一致。