Narrative Ambiguity Matters
References
- (2020) Forecasting the equity premium: Mind the news!. Rev. Finance 24(6):1313–1355.Crossref, Google Scholar
- (2009) The impact of risk and uncertainty on expected returns. J. Financial Econom. 94(2):233–263.Crossref, Google Scholar
- (2016) The rich domain of risk. Management Sci. 62(7):1954–1969.Link, Google Scholar
- (2018) Measuring ambiguity attitudes for all (natural) events. Econometrica 86(5):1839–1858.Crossref, Google Scholar
- (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61(4):1645–1680.Crossref, Google Scholar
- (2016) Measuring economic policy uncertainty. Quart. J. Econom. 131(4):1593–1636.Crossref, Google Scholar
- (2016) Risk, uncertainty, and expected returns. J. Financial Quant. Anal. 51(3):707–735.Crossref, Google Scholar
- (2023) An alternative explanation for the “Fed information effect”. Amer. Econom. Rev. 113(3):664–700.Crossref, Google Scholar
- (2010) Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Rev. 45(2):217–229.Crossref, Google Scholar
- (2013) Risk, uncertainty and monetary policy. J. Monetary Econom. 60(7):771–788.Crossref, Google Scholar
- (2003) What’s my line? A comparison of industry classification schemes for capital market research. J. Accounting Res. 41(5):745–774.Crossref, Google Scholar
- (2020) Hyperbole or reality? Investor response to extreme language in earnings conference calls. Accounting Rev. 95(2):31–60.Crossref, Google Scholar
- (2004) On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach. J. Financial Econom. 72(2):217–257.Crossref, Google Scholar
- (2018) Asset pricing and ambiguity: Empirical evidence. J. Financial Econom. 130(3):503–531.Crossref, Google Scholar
- (2015) The asset-pricing implications of government economic policy uncertainty. Management Sci. 61(1):3–18.Link, Google Scholar
- (2006) Model uncertainty and option markets with heterogeneous beliefs. J. Finance 61(6):2841–2897.Crossref, Google Scholar
- (2014) Economic uncertainty, disagreement, and credit markets. Management Sci. 60(5):1281–1296.Link, Google Scholar
- (2023) Surveying generative AI’s economic expectations. Preprint, submitted May 4, https://arxiv.org/abs/2305.02823.Google Scholar
- (2024) Business news and business cycles. J. Finance 79(5):3105–3147.Crossref, Google Scholar
- (2022) Measuring geopolitical risk. Amer. Econom. Rev. 112(4):1194–1225.Crossref, Google Scholar
- (1991) A variance decomposition for stock returns. Econom. J. 101(405):157–179.Google Scholar
- (1993) What moves the stock and bond markets? A variance decomposition for long-term asset returns. J. Finance 48(1):3–37.Crossref, Google Scholar
- (1988) Stock prices, earnings, and expected dividends. J. Finance 43(3):661–676.Crossref, Google Scholar
- (2008) Predicting excess stock returns out of sample: Can anything beat the historical average? Rev. Financial Stud. 21(4):1509–1531.Crossref, Google Scholar
- (2004) Bad beta, good beta. Amer. Econom. Rev. 94(5):1249–1275.Crossref, Google Scholar
- (2005) Model uncertainty, limited market participation, and asset prices. Rev. Financial Stud. 18(4):1219–1251.Crossref, Google Scholar
- (2020) Uncertainty and economic activity: A multicountry perspective. Rev. Financial Stud. 33(8):3393–3445.Crossref, Google Scholar
- (2002) Ambiguity, risk, and asset returns in continuous time. Econometrica 70(4):1403–1443.Crossref, Google Scholar
- (2023) Global disaster risk matters. Management Sci. 69(1):576–597.Link, Google Scholar
- (2001) Tests of equal forecast accuracy and encompassing for nested models. J. Econometrics 105(1):85–110.Crossref, Google Scholar
- (2007) Approximately normal tests for equal predictive accuracy in nested models. J. Econometrics 138(1):291–311.Crossref, Google Scholar
- (2025) Macroeconomic expectations and expected returns. J. Financial Quant. Anal. 60(4):1760–1796.Crossref, Google Scholar
- (2005) The effects of imprecise probabilities and outcomes in evaluating investment options. Management Sci. 51(12):1791–1803.Link, Google Scholar
- (1961) The crude analysis of strategy choices. Amer. Econom. Rev. 51(2):472–478.Google Scholar
- (2013) Ambiguous volatility and asset pricing in continuous time. Rev. Financial Stud. 26(7):1740–1786.Crossref, Google Scholar
- (1997) Industry costs of equity. J. Financial Econom. 43(2):153–193.Crossref, Google Scholar
- (2016) Rare disasters and exchange rates. Quart. J. Econom. 131(1):1–52.Crossref, Google Scholar
- (2019) Disagreement beta. J. Monetary Econom. 107:96–113.Crossref, Google Scholar
- (2007) Portfolio selection with parameter and model uncertainty: A multi-prior approach. Rev. Financial Stud. 20(1):41–81.Crossref, Google Scholar
- (2019) Text as data. J. Econom. Literature 57(3):535–574.Crossref, Google Scholar
- (1987) Expected utility with purely subjective non-additive probabilities. J. Math. Econom. 16(1):65–88.Crossref, Google Scholar
- (1989) Maxmin expected utility with non-unique prior. J. Math. Econom. 18(2):141–153.Crossref, Google Scholar
- (2013) International risk cycles. J. Internat. Econom. 89(2):471–484.Crossref, Google Scholar
- (2013) Ambiguity in asset pricing and portfolio choice: A review of the literature. Theory Decision. 74:183–217.Crossref, Google Scholar
- (2024) War discourse and disaster premium: 160 years of evidence from the stock market. Rev. Financial Stud. 38(2):457–506.Crossref, Google Scholar
- (2007) Do industries lead stock markets? J. Financial Econom. 83(2):367–396.Crossref, Google Scholar
- (2020) Replicating anomalies. Rev. Financial Stud. 33(5):2019–2133.Crossref, Google Scholar
- (2021) Are disagreements agreeable? Evidence from information aggregation. J. Financial Econom. 141(1):83–101.Crossref, Google Scholar
- (2015) Investor sentiment aligned: A powerful predictor of stock returns. Rev. Financial Stud. 28(3):791–837.Crossref, Google Scholar
- (2014) Ambiguous business cycles. Amer. Econom. Rev. 104(8):2368–2399.Crossref, Google Scholar
- (2014) Risk premiums in dynamic term structure models with unspanned macro risks. J. Finance 69(3):1197–1233.Crossref, Google Scholar
- (2012) Ambiguity, learning, and asset returns. Econometrica 80(2):559–591.Crossref, Google Scholar
- (2015) Measuring uncertainty. Amer. Econom. Rev. 105(3):1177–1216.Crossref, Google Scholar
- (2013) Market expectations in the cross-section of present values. J. Finance 68(5):1721–1756.Crossref, Google Scholar
- (2015) The three-pass regression filter: A new approach to forecasting using many predictors. J. Econometrics 186(2):294–316.Crossref, Google Scholar
- (1921) A Treatise on Probability (Macmillan, London).Google Scholar
- (1921) Risk, Uncertainty, and Profit (Houghton Mifflin, New York). Crossref, Google Scholar
- (2016) Ambiguity attitudes in decisions for others. Econom. Lett. 146:126–129.Crossref, Google Scholar
- (2001) Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. J. Monetary Econom. 47(3):523–544.Crossref, Google Scholar
- (2017) Disaster risk and asset returns: An international perspective. J. Internat. Econom. 108:S42–S58.Crossref, Google Scholar
- (2011) When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. J. Finance 66(1):35–65.Crossref, Google Scholar
- (2021) Uncertainty and business cycles: Exogenous impulse or endogenous response? Amer. Econom. J. Macroeconomics 13(4):369–410.Crossref, Google Scholar
- (2007) Asymmetric stock market volatility and the cyclical behavior of expected returns. J. Financial Econom. 86(2):446–478.Crossref, Google Scholar
- (2017) Common and country specific economic uncertainty. J. Internat. Econom. 105:205–216.Crossref, Google Scholar
- (2010) Flight to safety and U.S. Treasury securities. Regional Econom. 18(3):18–19.Google Scholar
- (2013) Political uncertainty and risk premia. J. Financial Econom. 110(3):520–545.Crossref, Google Scholar
- (1989) Subjective probability and expected utility without additivity. Econometrica 57(3):571–587.Crossref, Google Scholar
- (2019) Time-varying ambiguity, credit spreads, and the levered equity premium. J. Financial Econom. 134(3):617–646.Crossref, Google Scholar
- (2017) Narrative economics. Amer. Econom. Rev. 107(4):967–1004.Crossref, Google Scholar
- Shiller RJ (2019) Narrative Economics: How Stories Go Viral and Drive Major Economic Events (Princeton University Press, Princeton, NJ).Google Scholar
- (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104(2):288–302.Crossref, Google Scholar
- (2008) More than words: Quantifying language to measure firms’ fundamentals. J. Finance 63(3):1437–1467.Crossref, Google Scholar
- (2015) Ambiguity attitudes. Keren G, Wu G, eds. The Wiley Blackwell Handbook of Judgment and Decision Making, vol. 2 (John Wiley & Sons Ltd, Chichester, UK), 89–116.Crossref, Google Scholar
- (2023) From hero to zero: The case of Silicon Valley Bank. J. Econom. Bus. 127:106138.Crossref, Google Scholar
- (1999) Hopes and fears: The conflicting effects of risk ambiguity. Theory Decision 47:157–184.Crossref, Google Scholar
- (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21(4):1455–1508.Crossref, Google Scholar

