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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 …
Persistent link: https://www.econbiz.de/10013217295
How does the predictability of future noisy flows impact asset prices? We answer this question by developing a dynamic multi-asset price impact model. The model setup is general---both flows and fundamental returns can be correlated for the cross-section of assets, and flows can exhibit a...
Persistent link: https://www.econbiz.de/10014235942