Manager sentiment and stock market volatility

dc.contributor.authorGupta, Rangan
dc.date.accessioned2021-03-05T09:38:42Z
dc.date.available2021-03-05T09:38:42Z
dc.date.issued2019
dc.description.abstractThis 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 datadriven 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.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.librarianhj2021en_ZA
dc.description.urihttps://www.abacademies.org/journals/journal-of-management-information-and-decision-sciences-home.htmlen_ZA
dc.identifier.citationGupta, R. 2019, 'Manager sentiment and stock market volatility', Journal of Management Information and Decision Sciences, vol. 22, no.1, pp. 11-21.en_ZA
dc.identifier.issn1524-7252 (print)
dc.identifier.issn1532-5806 (online)
dc.identifier.urihttp://hdl.handle.net/2263/78957
dc.language.isoenen_ZA
dc.publisherAllied Business Academiesen_ZA
dc.rightsThis article is published open access.en_ZA
dc.subjectManager sentimenten_ZA
dc.subjectAsset pricingen_ZA
dc.subjectReturn predictabilityen_ZA
dc.subjectVolatility predictabilityen_ZA
dc.titleManager sentiment and stock market volatilityen_ZA
dc.typeArticleen_ZA

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