This study investigates the economic and financial drivers of volatility changes and integrates them into stock market volatility forecasting. We first collect a diverse set of predictor variables and analyze them within a unified framework. We discover that only a small number of variables...

This study compares the information content of funds from operation (FFO) and net income (NI) in the real estate investment trust (REIT) industry. We find that models using FFO explain more of the variance in cumulative abnormal returns around earnings announcement dates than models using NI do....

This study examines the relationship between the weather and intraday investor sentiment. Our results indicate that high temperatures, high humidity, high cloud coverage, and extreme rain negatively affect investors’ moods, whereas high winds and long sunshine durations improve their moods....

This study examines the relationship between the weather and intraday investor sentiment. Our results indicate that high temperatures, high humidity, high cloud coverage, and extreme rain negatively affect investors’ moods, whereas high winds and long sunshine durations improve their moods....