Quantifying investor narratives and their role during COVID-19
Journal of Applied Econometrics
; 2023.
Article
in English
| Scopus | ID: covidwho-2252712
ABSTRACT
This paper elicits and quantifies narratives from open-ended surveys sent daily to US stockholders during the first wave of the COVID-19 pandemic. Using textual analysis, we extract 13 narratives and measure their prevalence over time. A validation analysis confirms the behavioral and economic relevance of the retrieved narratives. Moreover, we find that the narratives contain predictive information for future excess stock and bond returns, and this predictability remains when controlling for contemporaneous information stemming from news and social media. Finally, we find evidence that political identity is reflected in the narrative tone. © 2023 John Wiley & Sons Ltd.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Language:
English
Journal:
Journal of Applied Econometrics
Year:
2023
Document Type:
Article
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