| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30195 |
| 来源ID | Working Paper 30195 |
| Crash Narratives | |
| William N. Goetzmann; Dasol Kim; Robert J. Shiller | |
| 发表日期 | 2022-07-04 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | The financial press is a conduit for popular narratives that reflect collective memory about historical events. Some collective memories relate to major stock market crashes, and investors may rely on associated narratives, or “crash narratives,” to inform current beliefs and choices. Using recent advances in computational linguistics, we develop a higher-order measure of narrativity based on newspaper articles that appear following major crashes. We provide evidence that crash narratives propagate broadly once they appear in news articles, and significantly explain predictive variation in market volatility. We exploit investor heterogeneity using survey data to distinguish the effects of narrativity and fundamental conditions and find consistent evidence. Finally, we develop a measure of pure narrativity to examine when the financial press is more likely to employ narratives. |
| 主题 | Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w30195 |
| 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/587868 |
| 推荐引用方式 GB/T 7714 | William N. Goetzmann,Dasol Kim,Robert J. Shiller. Crash Narratives. 2022. |
| 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 | ||
| w30195.pdf（457KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
