We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
from PART III - EMPIRICAL EVIDENCE FOR THE NOVELTY-NARRATIVE HYPOTHESIS
Published online by Cambridge University Press: 23 September 2021
Chapter 10 provides insight about whether the periods most likely associated with narrative intensity based on corporate novel events align with statistical breakpoints identified by structural change tests in the relationships driving SP500 and firm-level returns, the VIX volatility index, trading volume, and equity ETF flows. Popular breakpoint tests of structural change are applied to each of the stock market relationships based on common fundamental/risk relationships explored in the literature. The Chow test allows for the narrative intensity periods to be imposed ex ante in testing for breakpoints. The Bai and Perron unknown multiple breakpoint test identifies the most likely points of temporal instability in the time-series relations for comparison to the narrative intensity periods without imposing them ex ante. The analysis finds that structural breaks, in particular those found in aggregate- and firm-level returns, volatility, and fund flow regressions are at least somewhat aligned with the periods of highest, and moderate, KU narrative intensity from Chapter 6.
To save this book to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.
Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.
Find out more about the Kindle Personal Document Service.
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.
