Realized Stock Market Volatility of the United States: The Role of Employee Sentiment

Rangan Gupta, Savanah Hall () and Christian Pierdzioch
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Savanah Hall: Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa

No 202319, Working Papers from University of Pretoria, Department of Economics

Abstract: Using data for the 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 for four different measures of investor sentiment and various macroeconomic and financial factors an uncertainties. We report results for several combination of forecast horizons and estimation windows and find that employee sentiment contributes to forecast accuracy for several of combinations.

Keywords: Stock market volatility; Investor sentiment; Employee Sentiment; Forecasting (search for similar items in EconPapers)
JEL-codes: C32 C53 G10 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2023-07
New Economics Papers: this item is included in nep-rmg
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Journal Article: Realized Stock Market Volatility of the United States: The Role of Employee Sentiment (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202319

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