Manager sentiment and stock market volatility
| dc.contributor.author | Gupta, Rangan | |
| dc.date.accessioned | 2021-03-05T09:38:42Z | |
| dc.date.available | 2021-03-05T09:38:42Z | |
| dc.date.issued | 2019 | |
| dc.description.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 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.department | Economics | en_ZA |
| dc.description.librarian | hj2021 | en_ZA |
| dc.description.uri | https://www.abacademies.org/journals/journal-of-management-information-and-decision-sciences-home.html | en_ZA |
| dc.identifier.citation | Gupta, 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.issn | 1524-7252 (print) | |
| dc.identifier.issn | 1532-5806 (online) | |
| dc.identifier.uri | http://hdl.handle.net/2263/78957 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Allied Business Academies | en_ZA |
| dc.rights | This article is published open access. | en_ZA |
| dc.subject | Manager sentiment | en_ZA |
| dc.subject | Asset pricing | en_ZA |
| dc.subject | Return predictability | en_ZA |
| dc.subject | Volatility predictability | en_ZA |
| dc.title | Manager sentiment and stock market volatility | en_ZA |
| dc.type | Article | en_ZA |