This paper introduces a media-coverage-based approach to quantify narratives and develops methodologies to explain the extent to which narratives drive financial markets and returns of investment portfolios. We show that media-derived narratives may contain predictive information for market...

This paper distinguishes between a stock's liquidity (liquidity level), as measured by the average cost of trading it, and its liquidity beta (liquidity risk), as measured by the covariation of its return with unexpected changes in aggregate liquidity. Although considered safe assets in general,...

This paper demonstrates that the cross-sectional variation of liquidity commonality has increased over the period 1963-2005. The divergence of systematic liquidity can be explained by patterns in institutional ownership over the sample period. We document that our findings are associated with...