Journal of Management Information and Decision Sciences (Print ISSN: 1524-7252; Online ISSN: 1532-5806)


Manager Sentiment and Stock Market Volatility

Author(s): Rangan Gupta

This 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.

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