War Discourse and Disaster Premia: 160 Years of Evidence from Stock and Bond Markets
Journal: National Bureau of Economic Research
Year: 2023

Using a semi-supervised topic model on 7, 000, 000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock market excess returns to test rational and behavioral hypotheses about market valuation of disaster risk. Media discourse data address the challenge of sample size even when disasters are rare. Our methodology avoids look-ahead bias and addresses semantic shifts. Our discourse topics positively predict market excess returns, with War having