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Expectation Error.

The University of Chicago.

Expectation Error.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Expectation Error.
作者:	Zhang, Xiao.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, 2019
面頁冊數:	64 p.
附註:	Source: Dissertations Abstracts International, Volume: 81-04, Section: A.
附註:	Advisor: Sufi, Amir.
Contained By:	Dissertations Abstracts International81-04A.
標題:	Finance.
電子資源:	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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500 $a Source: Dissertations Abstracts International, Volume: 81-04, Section: A.
500 $a Advisor: Sufi, Amir.
502 $a Thesis (Ph.D.)--The University of Chicago, 2019.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a 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.
590 $a School code: 0330.
650 4 $a Finance. $3 183252
653 $a Analyst forecasts
653 $a Behavioral finance
653 $a Business cycles
653 $a Credit market sentiment
653 $a Textual analysis
653 $a Machine learning
653 $a Gross domestic product
690 $a 0508
710 2 $a The University of Chicago. $b Business. $3 384296
773 0 $t Dissertations Abstracts International $g 81-04A.
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791 $a Ph.D.
792 $a 2019
793 $a English
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