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

• Music sentiment predicts stock returns and reversals in 2017–2020 • The one-week return reversal disappears entirely after 2020 • Interaction tests confirm a structural break in sentiment effects • Pre-2020 sentiment-return patterns may not generalize across regimes 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.