Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text

• 成果类型: Article
• 署名作者: Bybee, Leland; Kelly, Bryan; Su, Yinan
• 署名单位: Yale University; National Bureau of Economic Research; Johns Hopkins University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad042
• 发表日期: 2023
• 页码: 4759
• 关键词: cross-section; Sentiment; anomalies; media; fit

摘要

We estimate a narrative factor pricing model from news text of The Wall Street Journal. Our empirical method integrates topic modeling (LDA), latent factor analysis (IPCA), and variable selection (group lasso). Narrative factors achieve higher out-of-sample Sharpe ratios and smaller pricing errors than standard characteristic-based factor models and predict future investment opportunities in a manner consistent with the ICAPM. We derive an interpretation of the estimated risk factors from narratives in the underlying article text. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online