This site shares the volatility dictionary that help distill textual volatility signals.
Please refer to Chen, Du, and He (2024) for details.
-
- fitted with earnings conference call data of U.S stock market from 2005 to 2020, which is the latest sample.
-
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},
url = { https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4947710 }
} `