Abstract:We examine the impact of movie sentiment on stock returns. We find that stock returns increase in movie sentiment that is reflected in the size of action-adventure box office. Movie sentiment also affects the cross-section of stock returns. Small, young, volatile, unprofitable, non-dividend paying, and extreme growth stocks are more susceptible to movie sentiment. Further, the impact of movie sentiment on stock returns is especially pronounced when movies receive more positive reviews from critics and when they enjoy higher ratings from the audience. Finally, the effect of movie sentiment strengthens on days preceding weekends but weakens on days following weekends, consistent with an investor sentiment explanation for the day-of-the-week effect. We conclude that movie sentiment is a factor that influences stock returns.