RT Journal Article
SR Electronic
T1 Comparing Geopolitical Risk Measures
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2022.1.415
DO 10.3905/jpm.2022.1.415
A1 Ahmet K. Karagozoglu
A1 Na Wang
A1 Tianpeng Zhou
YR 2022
UL https://pm-research.com/content/early/2022/08/19/jpm.2022.1.415.abstract
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.