Realized stock market volatility of the United States
The role of employee sentiment
Publication date
2024-09-23
Document type
Forschungsartikel
Author
Organisational unit
Scopus ID
Publisher
World Scientific
Series or journal
Annals of Financial Economics
ISSN
Periodical volume
19
Periodical issue
2
Article ID
2450006
Is a version of
Peer-reviewed
✅
Part of the university bibliography
✅
Language
English
Keyword
employee sentiment
forecasting
investor sentiment
Stock market volatility
United States
Abstract
Using data for the United States (US) stock market covering the sample period from 2008:06 to 2020:12, we study the incremental predictive value of employee sentiment for the realized volatility of stock returns. In doing so, we control four different measures of investor sentiment and various macroeconomic and financial factors and uncertainties. We report results for several combinations of forecast horizons and estimation windows and find that employee sentiment contributes to forecast accuracy for several combinations.
Version
Published version
Access right on openHSU
Metadata only access