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The Value of News

Larsen, Vegard H.; Thorsrud, Leif Anders
Working paper
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URI
http://hdl.handle.net/11250/2364954
Date
2015
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [98]
Abstract
We decompose a major business newspaper according to the topics it writes about, and show that the topics have predictive power for key economic variables and, especially noteworthy, for asset prices. Unexpected innovations to an aggregated news index, derived as a weighted average of the topics with the highest predictive scores, cause large and persistent economic fluctuations, a permanent increase in productivity, and are especially associated with financial markets, credit and borrowing. Unexpected innovations to asset prices, orthogonal to news shocks and labeled as noise, have only temporary positive effects.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;6/2015

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