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 …

We develop a theory of negotiation in which deals have multiple dimensions that can be bundled together. We use theory …

participate in the OTC market if they have the lowest risk-sharing needs and highest ability to take large positions. These banks … endogenously assume the role of OTC market dealers. Other banks, with relatively higher risk-sharing needs and lower ability to …

We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The … representation leads to novel spectral factor models in which systematic risk is allowed (without being forced) to vary across … frequencies. Frequency-specific systematic risk is captured by a notion of spectral beta. We show that traditional factor models …