We seek fundamental risks from news text. Conceptually, news is closely related to the idea of systematic risk, in … drives the current pricing kernel. This paper demonstrates a way to extract a parsimonious set of risk factors and eventually … attention allocated to different news narratives. As a result, the risk factors attain clear text-based interpretability as well …

elections and global summits. We find that political uncertainty is priced in the option market in ways predicted by the theory …. Options whose lives span political events tend to be more expensive. Such options provide valuable protection against the risk … associated with political events, including not only price risk but also variance and tail risks. This protection is more …