We jointly explain the variations of the equity and value premium in a model with both short-run (SRR) and long-run (LRR) consumption risk. In our preliminary empirical analysis, we find that SRR varies with the business cycle and it has a substantial predictive power for market excess returns...

The use of dictionaries in financial sentiment analysis and other financial and economic applications remains widespread because keyword-based methods appear more transparent and explainable than more advanced techniques commonly used in computer science. However, this paper demonstrates the...