Narrative Factors and Risk Models
研究了经济叙事如何驱动证券收益的横截面，并开发了一个将叙事强度量化指标纳入传统风险模型的闭式框架，实证展示了忽略这些因素可能导致的偏差。
Economic narratives drive the cross section of security returns over both long and short horizons. Quantifying the marginal impact of these narratives into portfolios represents a challenge for investors, as the narratives are often correlated with fundamental characteristics. This article develops a closed-form framework to incorporate quantitative measures of narrative or thematic intensity into a conventional risk model. The authors empirically demonstrate the bias that can arise when these factors are omitted using examples from the US equity market.