TY - JOUR T1 - Quantifying Narratives and Their Impact on Financial Markets JF - The Journal of Portfolio Management DO - 10.3905/jpm.2023.1.472 SP - jpm.2023.1.472 AU - Rajeev Bhargava AU - Xiaoxia Lou AU - Gideon Ozik AU - Ronnie Sadka AU - Travis Whitmore Y1 - 2023/02/09 UR - https://pm-research.com/content/early/2023/02/09/jpm.2023.1.472.abstract N2 - 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. ER -