News Implied Volatility and Disaster Concerns

By Asaf Manela, Alan Moreira. 2017

527 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/06df635cd2d8e0ad570eff9a34fc0838366f1211

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Citations in the corpus

The pandemic and economic policy uncertainty (2020, background): “Matkovskyy et al. (2020) provide evidence that high EPU leads to more volatility in the bitcoin market. On the other hand, Wu, Tong, Yang, and Derbali (2019) indicate that neither bitcoin nor gold are sufficient safe havens during high policy uncertainty, although they do observe that the bitcoin ma”
Text as Data (2017, background): “Manela and Moreira (2017) take a regression approach to construct an index of news-implied market volatility based on text from the Wall Street Journal from 1890–2009.”
Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models (2023, unknown): “…questions (e.g., Jegadeesh and Wu (2013), Campbell et al. (2014), Hoberg and Phillips (2016), Gaulin (2017), Baker, Bloom, and Davis (2016), Manela and Moreira (2017), Hansen, McMahon, and Prat (2018), Ke, Kelly, and Xiu (2019), Ke, Montiel Olea, and Nesbit (2019), Bybee et al. (2019), Gu,…”
How Valuable Is FinTech Innovation? (2019, unknown): “Researchers have used text-based methods to study news articles, online forum postings, corporate filings, and analyst reports (e.g., Antweiler and Frank 2004; Tetlock, Saar-Tsechansky, and Macskassy 2008; Hanley and Hoberg 2010; Loughran and McDonald 2011; Jegadeesh and Wu 2013; Hoberg and Phillips”
Disaster Risk and its Implications for Asset Pricing (2015, unknown): “Disaster risk can also be measured by news articles using text-based analysis (Manela and Moreira (2013)) and using data on credit-default swaps (Seo (2014)).”
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection (2020, methodology): “Manela and Moreira (2017) propose a news-based implied volatility index (NVIX) that captures investors’ perception of future uncertainty, and it is actually the estimated VXO index using front-page articles of the Wall Street Journal.”