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Narrative Factors in Asset Pricing by sunhan431728372 is a document available to read on EtoBox.
This paper presents a narrative factor pricing model utilizing news text from The Wall Street Journal to identify systematic risk factors. By employing methods such as topic modeling and latent factor analysis, the model outperforms traditional characteristic-based models in predicting investment opportunities and achieving higher Sharpe ratios. The findings suggest that narratives from news articles can effectively proxy for fundamental risks and forecast future market conditions, aligning with the ICAPM f
- Author
- sunhan431728372
- Language
- EN