Bybee, Leland; Kelly, Bryan T.; Su, Yinan - 2021
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 …