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.

Chapter 6 introduces the Knightian uncertainty sentiment, novelty, and volume indices based on unscheduled corporate news events. The corporate KU Sentiment Index is presented and plotted against US stock market valuation levels over the last 20 years. KU event-months with the highest/lowest sentiment scores are identified. Similarly, the corporate KU Novelty and Relevance Indices are introduced with graphical and descriptive analysis. Taken together, the three filters for highest/lowest sentiment, highest novelty, and highest relevance are interacted with the baseline KU Index from Chapter 5 to identify periods characterized by the highest narrative intensity. Periods of moderately high narrative intensity are also identified. These points of interest will serve as benchmarks for identified breakpoints found in formal structural change tests for stock returns, volatility, volume, and equity index fund flow relationships in Chapter 10.