In this paper, we study systemic risk in China using information from credit default swap (CDS) data of Chinese firms. We find a large time variation in CDS spreads. More importantly, firms’ CDS spreads co-move with each other and the first three principal components explain 94% of the...

This paper examines the impact of sentiment in an online message forum on stock returns. Using a novel controlled experiment, we collect a large panel of messages with no fundamental information but strong sentiment and stock return data. We find a significant causal effect of social media...

This study examines the effect of economic and political uncertainty on sovereign CDS spreads using a novel panel index of world uncertainty. We document that sovereign CDS spreads widen with uncertainty. A 1% increase in uncertainty leads to a 0.86% increase in sovereign CDS spreads....

Using a novel dataset of news events for 170,000 entities across over 100 countries, we find that media sentiment plays an important role in the market for merger and acquisition. Firms with high media sentiment are more likely to become an acquirer. The effect of media on the likelihood of an...

This study develops a new economic uncertainty (EU) index based on Chinese newspapers by addressing the media coverage bias of existing measures. The developed index refines the existing methods on measuring uncertainty by taking special characteristics of China into consideration, which turns...

The outbreak of the COVID-19 pandemic caused numerous lockdowns in cities around the world. While lockdowns can generally be effective at reducing the spread of COVID-19, they also have substantial psychosocial impacts, such as causing distress and anxiety among residents. However, our knowledge...