predictability

Popular Music, Sentiment, and Noise Trading

We construct a sentiment indicator as the first principal component of thirteen emotion metrics derived from the lyrics and composition of music-chart singles. This indicator performs well, dominating the Michigan Index of Consumer Sentiment and …

Investor Sentiment as a Predictor of Market Returns

Investor sentiment's effect on asset prices has been studied extensively to date, without delivering consistent results across samples and datasets. We investigate the asset-pricing impacts of eight widely cited investor-sentiment indicators (one …