This site shares the volatility dictionary that help distill textual volatility signals.
Please refer to Chen, Du, and He (2024) for details.
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- fitted with earnings conference call data of U.S stock market from 2005 to 2020, which is the latest sample.
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The Volatility Dictionary fitted with a sub-sample
- fitted with earnings conference call data of U.S stock market from 2005 to 2015, and the rest sample serves as test data.
` @techreport{cdh2024volatilitydictionary,
title={The Risk of Finance Words},
author={Chen, Xinbo and Du, Bowen and He, Xin},
institution={Hunan University},
year={2024} } `