What Events Do Investors Care About?
, Assistant Professor of Finance
Investors face dynamic risks in their portfolios in the form of unfolding events, such as international conflicts, economic policies, elections, etc. In this project, we seek to understand the events that matter to investors by evaluating how they rebalance their portfolios in response to various events. Using a novel methodology to measure events and their dynamic evolutions using the text of newspaper articles and conference calls, we measure how different assets are exposed to different events. Using this methodology, we propose to measure which events investors respond to via their portfolio rebalancing; and in turn, to understand which events (and the associated risks) matter to investors. Finally, we propose to study the link between event-based risk and traditional stock characteristic-based measures of risk.