News and Markets in the Time of COVID-19
研究了COVID-19初期大量负面新闻与市场反应的关联，发现高叙事性新闻主题与市场波动同步，且在高波动日更敏感，随后出现反转，并在2020年3月中旬发生结构性变化。
Abstract The onset of COVID-19 was characterized by voluminous, negative news. Higher narrativity news topics (measured by textual proximity to articles describing the 1987 stock market crash and textual distance from Federal Reserve communications) were systematically associated with contemporaneous market responses, which were larger on high volatility days (hypersensitivity), and with markets–news feedback. Hypersensitive news topic-market pairs were associated with next-day reversals. A test using the news–markets relationship identifies a mid-March 2020 structural break, which was knowable by the end of April. Post break, markets and news became considerably less coupled, and hypersensitivity and reversals abated.