Realized stock market volatility of the United States : the role of employee sentiment

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.