Forecasting the Equity Premium: Mind the News!*
Abstract
We introduce a novel strategy to predict monthly equity premia that is based on extracted news from more than 700,000 newspaper articles, which were published in The New York Times and Washington Post between 1980 and 2018. We propose a flexible data-adaptive switching approach to map a large set of different news-topics into forecasts of aggregate stock returns. The information that is embedded in our extracted news is not captured by...
Paper Details
Title
Forecasting the Equity Premium: Mind the News!*
Published Date
May 13, 2020
Journal
Volume
24
Issue
6
Pages
1313 - 1355
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