The conventional solution for handling sparsely labelled data is extensive feature engineering. This is time consuming and task and domain specific. We present a novel approach for learning embedded features that aims to alleviate this problem. Our approach jointly learns embeddings at different levels of granularity (word, sentence and document) along with the class labels. The intuition is that topic semantics represented by embeddings at multiple levels results in better classification. We evaluate this approach in unsupervised and semi-supervised settings on two sparsely labelled classification tasks, outperforming the handcrafted models and several embedding baselines.