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War Discourse and the Cross Section of Expected Stock Returns
A war-related factor model derived from textual analysis of media news reports explains the cross section of expected stock returns. Using a semisupervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section of returns across test assets derived from both traditional and machine learning construction techniques, and spanning 138 anomalies. Our findings are consistent with assets that are good hedges for war risk receiving lower risk premia, or with assets that are more positively sensitive to war prospects being more overvalued. The return premium on the war factor is incremental to standard effects.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| TJF8006 | PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | United States: American Finance Association 2025 |
|---|---|
| Edisi | Vol. 80 Issue 6, Dec 2025 |
| Subjek | expected stock returns Media news reports War risk |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 49 p. |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |