| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24430 |
| 来源ID | Working Paper 24430 |
| How News and Its Context Drive Risk and Returns Around the World | |
| Charles W. Calomiris; Harry Mamaysky | |
| 发表日期 | 2018-03-26 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We develop a classification methodology for the context and content of news articles to predict risk and return in stock markets in 51 developed and emerging economies. A parsimonious summary of news, including topic-specific sentiment, frequency, and unusualness (entropy) of word flow, predicts future country-level returns, volatilities, and drawdowns. Economic and statistical significance are high and larger for year-ahead than monthly predictions. The effect of news measures on market outcomes differs by country type and over time. News stories about emerging markets contain more incremental information. Out-of-sample testing confirms the economic value of our approach for forecasting country-level market outcomes. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w24430 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582103 |
| 推荐引用方式 GB/T 7714 | Charles W. Calomiris,Harry Mamaysky. How News and Its Context Drive Risk and Returns Around the World. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24430.pdf（855KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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