导致不确定性的词：一种基于词嵌入的测量

IF 3.3 2区经济学 Q1 ECONOMICS

Economic Systems Pub Date : 2025-02-26 DOI:10.1016/j.ecosys.2025.101294

Camila C. Pereira , Saulo B. Bastos , Daniel O. Cajueiro

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引用次数: 0

摘要

本文考察了经济不确定性对股票收益的影响。我们引入了一种新的方法，使用词向量进行词表示来估计新闻故事的经济不确定性。我们的研究结果表明，这种衡量经济不确定性的方法会影响个股的定价。此外，我们表明公司特征、媒体报道、上市公司地位、小盘股或非流动性不影响这种关系。我们还将我们的测量方法与文献中两种被广泛接受的不确定性测量方法进行了比较，并发现了类似的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The words that lead to uncertainty: A measure based on word embeddings

This paper examines the impact of economic uncertainty on stock returns. We introduce a new method that uses word vectors for word representation to estimate economic uncertainty from news stories. Our findings suggest that this measure of economic uncertainty influences the pricing of individual stocks. Furthermore, we show that firm characteristics, media coverage, public firm status, small-cap stocks, or illiquidity do not affect this relationship. We also compare our measure with two widely accepted uncertainty measures in the literature and find similar evidence.

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来源期刊

Economic Systems ECONOMICS-

CiteScore

4.90

自引率

0.00%

发文量

审稿时长

48 days

期刊介绍： Economic Systems is a refereed journal for the analysis of causes and consequences of the significant institutional variety prevailing among developed, developing, and emerging economies, as well as attempts at and proposals for their reform. The journal is open to micro and macro contributions, theoretical as well as empirical, the latter to analyze related topics against the background of country or region-specific experiences. In this respect, Economic Systems retains its long standing interest in the emerging economies of Central and Eastern Europe and other former transition economies, but also encourages contributions that cover any part of the world, including Asia, Latin America, the Middle East, or Africa.