Investors’ Uncertainty and Stock Market Risk
The authors propose a novel approach to model investors' uncertainty using the conditional volatility of investors' sentiment. Working with weekly data on investor sentiment, 6 major U.S. stock indices, and alternative measures of uncertainty, they run various tests to validate the propose...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute of Behavioral Finance
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |