量化投资者叙述及其在新冠肺炎期间的作用

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2023-02-07 DOI:10.1002/jae.2964

Daniel Borup, Jorge Wolfgang Hansen, Benjamin Dybro Liengaard, Erik Christian Montes Schütte

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引用次数: 0

摘要

本文从新冠肺炎第一波疫情期间每天向美国股东发送的开放式调查中得出并量化了叙述。通过文本分析，我们提取了13个故事，并测量了它们在一段时间内的流行程度。验证分析证实了检索到的叙述的行为和经济相关性。此外，我们发现，这些叙述包含了未来超额股票和债券回报的预测信息，在控制来自新闻和社交媒体的同期信息时，这种可预测性仍然存在。最后，我们发现了政治认同在叙事基调中得到体现的证据。

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Quantifying investor narratives and their role during COVID-19

This paper elicits and quantifies narratives from open-ended surveys sent daily to US stockholders during the first wave of the COVID-19 pandemic. Using textual analysis, we extract 13 narratives and measure their prevalence over time. A validation analysis confirms the behavioral and economic relevance of the retrieved narratives. Moreover, we find that the narratives contain predictive information for future excess stock and bond returns, and this predictability remains when controlling for contemporaneous information stemming from news and social media. Finally, we find evidence that political identity is reflected in the narrative tone.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.