The relationships between sentiment, returns and volatility

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31324

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31324

Title:	The relationships between sentiment, returns and volatility
Authors:	Wang YH,?Keswani A,?Taylor SJ
Contributors:	財務金融研究所
Keywords:	STOCK-MARKET VOLATILITY;INVESTOR SENTIMENT;FINANCIAL-MARKETS
Date:	2006
Issue Date:	2010-07-06 17:42:14 (UTC+8)
Publisher:	中央大學
Abstract:	Previous papers that test whether sentiment is useful for predicting volatility ignore whether lagged returns information might also be useful for this purpose. By doing so, these papers potentially overestimate the role of sentiment in predicting volatil
Relation:	INTERNATIONAL JOURNAL OF FORECASTING
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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