Using VIX and Investor Sentiment to Explain Stock Market Returns
July 10, 2023 - Sentiment Indicators, Volatility Effects
Do stock market return volatility (as a measure of risk) and aggregate investor sentiment (as a measure of risk tolerance) work well jointly to explain stock market returns? In their June 2023 paper entitled “Time-varying Equity Premia with a High-VIX Threshold and Sentiment”, Naresh Bansal and Chris Stivers investigate the in-sample power an optimal CBOE… Keep Reading