Quantifying investor narratives and their role during COVID‐19
通过每日对美国股票持有者的开放式调查，提取并量化13种叙事，发现它们能预测股票和债券的超额收益，且政治身份影响叙事基调。
Summary 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.