PT  - JOURNAL ARTICLE
AU  - Ahmet K. Karagozoglu
AU  - Na Wang
AU  - Tianpeng Zhou
TI  - Comparing Geopolitical Risk Measures
AID  - 10.3905/jpm.2022.1.415
DP  - 2022 Aug 19
TA  - The Journal of Portfolio Management
PG  - jpm.2022.1.415
4099  - https://pm-research.com/content/early/2022/08/19/jpm.2022.1.415.short
4100  - https://pm-research.com/content/early/2022/08/19/jpm.2022.1.415.full
AB  - Although geopolitical risk has traditionally been approached from a qualitative aspect, what makes it a novel risk is the application of innovative techniques to measure it. The authors compare methodologies and applications of geopolitical risk measures constructed using three broad approaches: empirical models of asset prices, textual analysis of news, and analyst/expert ratings. The authors examine the ability of these approaches to capture changes in geopolitical risks in a timely manner, and they document that measures based on asset prices reflect geopolitical risk changes more promptly than those based on textual analysis, whereas textual analysis–based measures incorporate new information on geopolitical risk more promptly than ratings-based ones.