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The sporadic large fluctuations are seen in the stock market due to changes in fundamental parameters, technical setups, and external factors. These large fluctuations are termed as Extreme Events (EE). The EEs may be positive or negative…
Parametric Portfolio Policies (PPP) estimate optimal portfolio weights directly as functions of observable signals by maximizing expected utility, bypassing the need to model asset returns and covariances. However, PPP ignores policy risk.…
It is reported that financial news, especially financial events expressed in news, provide information to investors' long/short decisions and influence the movements of stock markets. Motivated by this, we leverage financial event streams…
Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understand the overall economic dynamics. We introduce an open-source available efficient Python implementation of a…
Economic Policy Uncertainty (EPU) represents the uncertainty realized by the investors during economic policy alterations. EPU is a critical indicator in economic studies to predict future investments, the unemployment rate, and recessions.…
Analyzing a comprehensive news dataset, we document that joint news coverage triggers attention contagion, causing temporarily inflated valuations for affected stocks. Tracing SEC EDGAR visits from unique IPs, we provide direct evidence of…
Do governments adjust budgetary policy to rising public debt, precluding fiscal unsustainability? Using budget data for 52 industrial and emerging economies since 1990, we apply panel methods accounting for cross-sectional dependence and…
The binary information collects all those events that may or may not occur. With this kind of variables, a large amount of information can be captured, in particular, about financial assets and their future trends. In our paper, we assume…
We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been oddly high for the past two decades, why gains…
No matter its source, financial- or policy-related, uncertainty can feed onto itself, inflicting the real economic sector, altering expectations and behaviours, and leading to identification challenges in empirical applications. The strong…
The macroeconomic climate influences operations with regard to, e.g., raw material prices, financing, supply chain utilization and demand quotas. In order to adapt to the economic environment, decision-makers across the public and private…
It is part of our daily social-media experience that seemingly ordinary items (videos, news, publications, etc.) unexpectedly gain an enormous amount of attention. Here we investigate how unexpected these events are. We propose a method…
We present evidence that the word entropy of American English has been rising steadily since around 1900, contrary to predictions from existing sociolinguistic theories. We also find differences in word entropy between media categories,…
The present study applies observations of individual predictions of the first three releases of the US output growth rate to evaluate how the applied judgment affects prediction efficiency and accuracy as well as if judgment is persistent.…
We examine the incremental value of news-based data relative to the FRED-MD economic indicators for quantile predictions of employment, output, inflation and consumer sentiment in a high-dimensional setting. Our results suggest that news…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
This paper examines how regulatory interventions in high-frequency financial markets affect price discovery. We focus on Breaking news, where dynamic circuit breakers trigger trading halts immediately after the release of macroeconomic…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
This paper shows that disregarding the information effects around the European Central Bank monetary policy decision announcements biases its international spillovers. Using data from 23 economies, both Emerging and Advanced, I show that…
A rising topic in computational journalism is how to enhance the diversity in news served to subscribers to foster exploration behavior in news reading. Despite the success of preference learning in personalized news recommendation, their…