“Agree to Disagree”: Forecasting Stock Market Implied Volatility Using Financial Report Tone Disagreement Analysis

“Agree to Disagree”: Forecasting Stock Market Implied Volatility Using Financial Report Tone Disagreement Analysis

This paper studies the predictability of implied volatility indices of stocks using financial reports tone disagreement from U.S. firms. For this purpose, we build a novel measure of tone disagreement based on financial report tone synchronization of U.S. corporations scattered across five Fama-Fren...

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Bibliographic Details
Main Authors: Nicolas S. Magner, Nicolás Hardy, Tiago Ferreira, Jaime F. Lavin
Format: Article
Language:English
Published: MDPI AG 2023-03-01
Series:Mathematics
Subjects:
disagreement
textual analysis
predictability
stock returns
implied volatility
network methods
Online Access:https://www.mdpi.com/2227-7390/11/7/1591

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