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Machine Learning, Real-time Macroeconomic Risk, and Asset Pricing

https://doi.org/10.2139/ssrn.6891838
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/for.2584openalex-snapshot
Forecasting economic indicators using a consumer sentiment index: Survey‐based versus text‐based data
inferredcites →https://doi.org/10.1016/0304-3932(85)90061-3openalex-snapshot
The equity premium: A puzzle
inferredcites →https://doi.org/10.1016/0304-405x(79)90016-3openalex-snapshot
An intertemporal asset pricing model with stochastic consumption and investment opportunities
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.ijforecast.2019.05.010openalex-snapshot
The impact of sentiment and attention measures on stock market volatility
inferredcites →https://doi.org/10.1016/j.jeconom.2020.07.053openalex-snapshot
Measuring news sentiment
inferredcites →https://doi.org/10.1016/j.knosys.2022.108781openalex-snapshot
Fine-Grained, Aspect-Based Sentiment Analysis on Economic and Financial Lexicon
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/296025openalex-snapshot
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1086/718982openalex-snapshot
Monetary Policy Communications and Their Effects on Household Inflation Expectations
inferredcites →https://doi.org/10.1086/722962openalex-snapshot
Average Inflation Targeting and Household Expectations
inferredcites →https://doi.org/10.1093/biomet/65.2.297openalex-snapshot
On a Measure of Lack of Fit in Time Series Models
inferredcites →https://doi.org/10.1093/qje/qjw024openalex-snapshot
Measuring Economic Policy Uncertainty*
inferredcites →https://doi.org/10.1093/qje/qjw040openalex-snapshot
Technological Innovation, Resource Allocation, and Growth*
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-snapshot
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhq075openalex-snapshot
The Aggregate Dynamics of Capital Structure and Macroeconomic Risk
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01232.xopenalex-snapshot
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
inferredcites →https://doi.org/10.1111/jofi.12885openalex-snapshot
Lazy Prices
inferredcites →https://doi.org/10.1146/annurev-financial-101521-104735openalex-snapshot
Factor Models, Machine Learning, and Asset Pricing
inferredcites →https://doi.org/10.1257/aer.100.2.542openalex-snapshot
Long Run Risks, the Macroeconomy, and Asset Prices
inferredcites →https://doi.org/10.1257/aer.100.2.547openalex-snapshot
Long Run Risks, Credit Markets, and Financial Structure
inferredcites →https://doi.org/10.1257/jel.20181020openalex-snapshot
Text as Data
inferredcites →https://doi.org/10.2307/1912559openalex-snapshot
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
inferredcites →https://doi.org/10.2307/1913778openalex-snapshot
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
inferredcites →https://doi.org/10.3982/ecta6248openalex-snapshot
The Impact of Uncertainty Shocks
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