China's stock market is a policy-driven market, which is eager to get any signals about the monetary policy. Due to its limited independence, the People’s Bank of China (PBC) prefer to release ambiguous information with multiple sentiments at the single communication to the public. This paper...

This paper explores the cross-sectional asset pricing implications of the ambiguity of central bank communication through the dispersion of multiple policy stances in a single communication. By distinguishing different sentiments for each communication event with a field-specific lexicon, we...

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....