Manager Sentiment and Stock Market Volatility

Rangan Gupta

No 201853, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper hypothesizes that corporate managers’ sentiment can predict aggregate stock market volatility. Using a k-th order nonparametric causality-in-quantiles test, we show that manager sentiment is a stronger predictor for volatility than stock return, especially when one accommodates for misspecification in the linear predictive model via a nonparametric data-driven approach. But, predictability is completely absent at extreme ends of the conditional distribution of return, and at the upper end of the same for volatility.

Keywords: Manager Sentiment; Asset Pricing; Return and Volatility Predictability (search for similar items in EconPapers)
JEL-codes: C22 C53 G11 G12 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2018-08
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201853

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