The economics of information have made many advancements since the theory of market efficiency. The current direction of information economics is to link narrative economics with market sentiment and returns. This chart is from Ronnie Sadka of Boston College from his work with State Street on market narratives. There are several media-driven reservoirs that can be used to generate narrative information. There is information intensity as well as news sentiment. Once we have isolated information, we can look at dispersion, disagreement, and content. From the narrative information portfolios can be formed with narrative sensitivity.
Ways of thinking about news narrative that can be quantified.
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