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How News and Its Context Drive Risk and Returns Around the World / Charles W. Calomiris, Harry Mamaysky.
- Format:
- Book
- Author/Creator:
- Calomiris, Charles W.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w24430.
- NBER working paper series no. w24430
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2018.
- Summary:
- 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.
- Notes:
- Print version record
- March 2018.
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