War Discourse and Disaster Premium: 160 Years of Evidence from the Stock Market

• 成果类型: Article
• 署名作者: Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara
• 署名单位: University of Southern California; University of Missouri System; University of Missouri Columbia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae081
• 发表日期: 2024
• 页码: 457
• 关键词: rare disasters; Investor sentiment; RISK; uncertainty; returns; explain; news

摘要

Using a semisupervised topic model on 7 million New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock market excess returns to test rational and behavioral hypotheses about market valuation of disaster risk. Media discourse data address the challenge of sample size even when disasters are rare. Our methodology avoids look-ahead bias and addresses semantic shifts. Our discourse topics positively predicts market excess returns, with War having an out-of-sample $R<^>{2}$ of 1.35%. We call this effect the war return premium. The war return premium has increased in more recent time periods.