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Expectation Error.
~
The University of Chicago.
Expectation Error.
Record Type:
Electronic resources : Monograph/item
Title/Author:
Expectation Error.
Author:
Zhang, Xiao.
Published:
Ann Arbor : ProQuest Dissertations & Theses, 2019
Description:
64 p.
Notes:
Source: Dissertations Abstracts International, Volume: 81-04, Section: A.
Notes:
Advisor: Sufi, Amir.
Contained By:
Dissertations Abstracts International81-04A.
Subject:
Finance.
Online resource:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13886153
ISBN:
9781085775090
Expectation Error.
Zhang, Xiao.
Expectation Error.
- Ann Arbor : ProQuest Dissertations & Theses, 2019 - 64 p.
Source: Dissertations Abstracts International, Volume: 81-04, Section: A.
Thesis (Ph.D.)--The University of Chicago, 2019.
This item must not be sold to any third party vendors.
I backcast expectation errors of credit spreads via machine learning. I use newspapers over the past century to construct text-based expectations of credit spreads and study the relationship between expectation errors and business cycles. The main result is that overoptimism about future credit spreads predicts lower GDP growth and higher unemployment over the medium run, even after controlling for past and prevailing credit spreads. This finding suggests credit-market sentiment is an important driver of economic fluctuations. Consistent with this story, I also find both the amount of net debt issuance and the ratio of debt to equity issuance increase following periods of overoptimism.
ISBN: 9781085775090Subjects--Topical Terms:
183252
Finance.
Subjects--Index Terms:
Analyst forecasts
Expectation Error.
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Source: Dissertations Abstracts International, Volume: 81-04, Section: A.
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Advisor: Sufi, Amir.
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Thesis (Ph.D.)--The University of Chicago, 2019.
506
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I backcast expectation errors of credit spreads via machine learning. I use newspapers over the past century to construct text-based expectations of credit spreads and study the relationship between expectation errors and business cycles. The main result is that overoptimism about future credit spreads predicts lower GDP growth and higher unemployment over the medium run, even after controlling for past and prevailing credit spreads. This finding suggests credit-market sentiment is an important driver of economic fluctuations. Consistent with this story, I also find both the amount of net debt issuance and the ratio of debt to equity issuance increase following periods of overoptimism.
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School code: 0330.
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Finance.
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Analyst forecasts
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Business cycles
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Credit market sentiment
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Textual analysis
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Machine learning
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13886153
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