Individual investor attention and the predictability of stock market volatility and returns

被引：0

作者：

Henrique Castro, F. ^{[1
]}

Guzella, Marcelo ^{[2
]}

机构：

[1] FGV EESP, Sao Paulo Sch Econ, Sao Paulo, Brazil

[2] Univ Sao Paulo, Sao Paulo, Brazil

来源：

ECONOMICS BULLETIN | 2021年 / 41卷 / 03期

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study individual investor attention to the most important stock market index in Brazil and its dynamics with market volatility and returns. We find that attention is a leading indicator of future volatility and that returns are a leading indicator of future attention. The results are robust to different specifications.

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页数：7

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