PT - JOURNAL ARTICLE AU - Rajeev Bhargava AU - Xiaoxia Lou AU - Gideon Ozik AU - Ronnie Sadka AU - Travis Whitmore TI - Quantifying Narratives and Their Impact on Financial Markets AID - 10.3905/jpm.2023.1.472 DP - 2023 Feb 09 TA - The Journal of Portfolio Management PG - jpm.2023.1.472 4099 - https://pm-research.com/content/early/2023/02/09/jpm.2023.1.472.short 4100 - https://pm-research.com/content/early/2023/02/09/jpm.2023.1.472.full AB - This article introduces a media coverage–based approach to quantify narratives and develops methodologies to explain the extent to which narratives drive financial markets and returns of investment portfolios. The authors show that media-derived narratives may contain predictive information for market returns beyond traditional macro indicators. Finally, the authors demonstrate that narrative indicators can be used to enhance asset-allocation strategies and to gain or hedge exposure to narratives by constructing portfolios of narrative-sensitive assets. These findings contribute to our understanding of how narratives influence financial markets and their impact on asset prices.