Decoding news: How media risk and ambiguity shape CDS spreads

Amirhossein Sadoghi and Caterina Santi
Additional contact information
Amirhossein Sadoghi: Rennes SB - Rennes School of Business
Caterina Santi: HEC Liège

Post-Print from HAL

Abstract: We introduce a novel method to quantify perceived global risk and ambiguity in media attention using content analysis. First, we apply structural topic modeling to risk-related news articles to identify distinct sources of uncertainty. We define ambiguity in attention as the variability in the distribution of topic probabilities across articles—that is, the extent to which media coverage diverges in its focus on different topics. In contrast, perceived risk is measured as the share of articles that assign a particular topic as their primary focus. We then examine whether these measures of perceived global risk and ambiguity in attention can explain changes in credit default swap (CDS) spreads. Our results show that greater ambiguity in news media attention is associated with a decrease in CDS spreads by up to 5.9%, while higher perceived risk corresponds to an increase of up to 4.9%. These findings highlight the role of media-driven uncertainty in shaping investor behavior and market risk perceptions.

Keywords: Europe; Asset pricing; Carbon risk; Energy; Public attitudes (search for similar items in EconPapers)
Date: 2026-06
References: Add references at CitEc
Citations:

Published in Journal of Economic Dynamics and Control, 2026, 187, pp.105322. ⟨10.1016/j.jedc.2026.105322⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05770756

DOI: 10.1016/j.jedc.2026.105322

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().