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

dc.contributor.authorGupta, Rangan
dc.contributor.authorHall, Savanah
dc.contributor.authorPierdzioch, Christian
dc.contributor.emailrangan.gupta@up.ac.zaen_US
dc.date.accessioned2024-11-20T11:50:57Z
dc.date.issued2024-06
dc.descriptionDATA AVAILABILITY STATEMENT : Data will be made available upon request.en_US
dc.description.abstractUsing 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.en_US
dc.description.departmentEconomicsen_US
dc.description.embargo2025-06-01
dc.description.librarianhj2024en_US
dc.description.sdgSDG-08:Decent work and economic growthen_US
dc.description.urihttp://www.worldscientific.com/worldscinet/afeen_US
dc.identifier.citationGupta, R., Hall, S. & Pierdzioch, C. 2024, 'Realized stock market volatility of the United States : the role of employee sentiment', Annals of Financial Economics, vol. 19, no. 2, art. 22450006, doi : 10.1142/S2010495224500064.en_US
dc.identifier.issn2010-4952 (print)
dc.identifier.issn2010-4960 (online)
dc.identifier.other10.1142/S2010495224500064
dc.identifier.urihttp://hdl.handle.net/2263/99198
dc.language.isoenen_US
dc.publisherWorld Scientific Publishingen_US
dc.rights© 2024 World Scientific Publishing.en_US
dc.subjectStock market volatilityen_US
dc.subjectInvestor sentimenten_US
dc.subjectEmployee sentimenten_US
dc.subjectForecastingen_US
dc.subjectUnited States (US)en_US
dc.subjectSDG-08: Decent work and economic growthen_US
dc.titleRealized stock market volatility of the United States : the role of employee sentimenten_US
dc.typePostprint Articleen_US

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