| Authors |
Mai, Pukthuanthong |
| Year |
2021 |
| Type |
Working Paper |
| Abstract |
We employ sLDA to extract the narratives discussed by Shiller (2019) from 7 million NYT articles over 150 years. The estimation addresses look-ahead bias and changes in semantics. Panic and the narrative index positively predict market return and negatively predict volatility. Panic presents time-varying risk aversion. The narrative predictability increases recently at both market and portfolio and monthly and daily intervals. The narrative index constructed from 2 million WSJ
articles over 130 years retains its predictive power, but Stock Bubble emerges as a negative market predictor. Media customizes their narratives to their readers, having a diverse effect on the market. |
| Keywords |
Narratives, LDA, topic modeling, predictability, textual analysis, history |
| URL |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3990324 |
| Tags |
Archival Empirical |
Asset Pricing, Trading Volume and Market Efficiency |
Media and Textual Analysis
|