Narrative Ambiguity Matters
主讲人：
张群姿（山东大学经济学院副院长、教授、博士生导师）
主持老师：
（北大经院）王一鸣、王熙
参与老师：
（北大经院）刘蕴霆、王法、巩爱博
时间：
2025年11月14日（周五）
10:00-11:30
地点（线下）：
北京大学经济学院107会议室
主讲人简介：
张群姿，山东大学经济学院教授博导，副院长，国家自科优青项目主持人，国家、省一流本科课程负责人，教育部全国高校“双带头人”党支部书记工作室负责人及“强国行”专项行动负责人，省金融高端人才，山东大学杰出中青年学者、齐鲁青年学者。瑞士洛桑大学和瑞士金融学院金融学博士，博士论文曾获瑞士沃州优秀论文奖。论文发表于Journal of Financial Economics, Journal of Financial and Quantitative Analysis，Management Science, Journal of Money, Credit and Banking，Journal of Financial Markets等国际一流期刊。分别担任金融学季刊和Journal of Futures Markets, International Journal of Finance and Economics副主编、 Energy Nexus和The Innovation期刊编委。
报告摘要：
By extracting information from economic news articles, this paper proposes a novel measure of narrative-based ambiguity, which captures investors’attitudes toward narrative uncertainty and exhibits strong in- and out-of-sample predictive power for the stock market risk premium. It reveals general ambiguity aversion, except in high-loss-probability scenarios where ambiguity tolerance emerges. Furthermore, through further exploring and aligning the industry-level ambiguity of narrative sentiment, we find that the aligned ambiguity index exhibits stronger predictability, where consumption and technology related industry-level ambiguity contribute the most. And the predictability remains significant across international markets and other asset classes. Beyond asset pricing, the ambiguity index serves as a robust predictor of future economic fundamentals and exhibits counter-cyclical dynamics. These findings highlight the economic value of measuring narrative ambiguity and deepen our understanding of its predictive power.
