“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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-03-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/7/1591 |