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More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?
16 references·2 citing·47 second hop
More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability? (2023)More attention and better volatility fore…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…In Search of Attention (2011)In Search of AttentionOut-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Limited attention, information disclosure, and financial reporting (2003)Limited attention, informatio…Advertising, Breadth of Ownership, and Liquidity (2003)Advertising, Breadth of Owner…The High‐Volume Return Premium (2001)The High‐Volume Return PremiumContagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar (2001)Contagious Speculation and a …Out-of-sample tests of forecasting accuracy: an analysis and review (2000)Out-of-sample tests of foreca…On the economic consequences of civil war (1999)On the economic consequences …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Impact of ESG regulation on stock market returns: Investor responses to a reasonable assurance mandate (2024)Impact of ESG regulation on s…Equity markets and ESG dynamics: Assessing spillovers and portfolio strategies through time-varying parameters (2024)Equity markets and ESG dynami…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Economic Growth in a Cross Section of Countries (1989)Investment Under Uncertainty. (1994)Africa's Growth Tragedy: Policies and Ethnic Divisions (1997)Economic Causes of Civil Conflict and their Implications for Policy (2000)The Social Processes of Civil War: The Wartime Transformation of Social Networks (2008)Birthplace diversity and economic prosperity (2016)Common risk factors in the returns on stocks and bonds (1993)Comparing Predictive Accuracy (1994)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Manager sentiment and stock returns (2018)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)Optimum consumption and portfolio rules in a continuous-time model (1971)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Economic Links and Predictable Returns (2008)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)On Persistence in Mutual Fund Performance (1997)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)… and the Cross-Section of Expected Returns (2015)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2011In Search of Attention3,088 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2003Limited attention, information disclosure, and financial reporting2,339 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 1999On the economic consequences of civil war1,181 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2000Out-of-sample tests of forecasting accuracy: an analysis and review1,014 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2001Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar924 cited
  • 2001The High‐Volume Return Premium

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860 cited
  • 2003Advertising, Breadth of Ownership, and Liquidity839 cited
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    • 2024Equity markets and ESG dynamics: Assessing spillovers and portfolio strategies through time-varying parameters57 cited
    • 2024Impact of ESG regulation on stock market returns: Investor responses to a reasonable assurance mandate39 cited