Gupta, Rangan2021-03-052021-03-052019Gupta, R. 2019, 'Manager sentiment and stock market volatility', Journal of Management Information and Decision Sciences, vol. 22, no.1, pp. 11-21.1524-7252 (print)1532-5806 (online)http://hdl.handle.net/2263/78957This 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.enThis article is published open access.Manager sentimentAsset pricingReturn predictabilityVolatility predictabilityArticle