Volatility_Dictionary

This site shares the volatility dictionary that help distill textual volatility signals.

Please refer to Chen, Du, and He (2024) for details.

Download via links

• The Volatility Dictionary
  • 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.

Reference

` @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 }

} `

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