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

Annals of Financial Economics (AFE), 2024, vol. 19, issue 02, 1-21

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.

Keywords: Stock market volatility; investor sentiment; employee sentiment; forecasting; United States (search for similar items in EconPapers)
JEL-codes: C32 C53 G10 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Realized Stock Market Volatility of the United States: The Role of Employee Sentiment (2023)
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DOI: 10.1142/S2010495224500064

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