Quantifying Investor Narratives and Their Role during COVID-19

114 Pages Posted: 20 Dec 2020 Last revised: 17 Aug 2021

See all articles by Daniel Borup

Daniel Borup

Aarhus University, CREATES, DFI

Jorge Hansen

Aarhus University; CREATES; DFI

Benjamin Liengaard

Aarhus University - CREATES

Erik Christian Montes Schütte

Aarhus University - CREATES; DFI

Date Written: December 19, 2020

Abstract

This paper establishes a methodology to elicit and quantify narratives from survey data using textual analysis. We extract thirteen narratives from daily US stockholder questionnaires conducted during the first-wave COVID-19 period and measure their prevalence over time. Survey-based narratives positively correlate with their news and social media analogs, but equivalence is rejected. This discrepancy between sources, arising from social transmission, increases markedly when uncertainty prevails and enforces a negative bias in narrative tone. Information percolation between sources is unidirectional, but heterogeneous across narratives. Narrative importance is evident from their relation to political identity, physical mobility, risk premia, and economic fluctuations.

Keywords: COVID-19, textual analysis, latent Dirichlet allocation, narrative economics

JEL Classification: C55, D91, E44, E71

Suggested Citation

Borup, Daniel and Hansen, Jorge and Liengaard, Benjamin and Schütte, Erik Christian Montes, Quantifying Investor Narratives and Their Role during COVID-19 (December 19, 2020). Available at SSRN: https://ssrn.com/abstract=3752116 or http://dx.doi.org/10.2139/ssrn.3752116

Daniel Borup (Contact Author)

Aarhus University, CREATES, DFI ( email )

School of Business and Social Sciences
Fuglesangs Alle 4
Aarhus V, 8210
Denmark

Jorge Hansen

Aarhus University ( email )

Nordre Ringgade 1
DK-8000 Aarhus C, 8000
Denmark

CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

DFI ( email )

Benjamin Liengaard

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Erik Christian Montes Schütte

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

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