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This paper studies the predictability of implied volatility indices of stocks using financial reports tone disagreement from U.S. firms. For this purpose, we build a novel measure of tone disagreement based on financial report tone synchronization of U.S. corporations scattered across five Fama-French industries. The research uses tree network methods to calculate the minimum spanning tree length utilizing data from text mining sentiments features extracted from all U.S. firms that considers 837,342 financial reports. The results show that periods of increased disagreement predict higher implied volatility indices. We contribute to the literature that proposes that a high level of expectations dispersion leads to higher stock volatility and fills a gap in understanding how firms' disagreement level of financial report tone forecast the aggregate stock market behavior. The findings also have implications for financial stability and delegated portfolio management, as accurate volatility prediction is critical for practitioners. [ABSTRACT FROM AUTHOR]

We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market's volatility indices' predictive power on synchronizing global equity indices returns. We built the correlation network of 26 stock indices and implemented in-sample and out-of-sample tests to evaluate the predictive power of VIX, VSTOXX, and VXJ implied volatility indices. To measure markets' synchronization, we use the Minimum Spanning Tree length and the length of the Planar Maximally Filtered Graph. Our results indicate a high predictive power of all the volatility indices, both individually and together, though the VIX predominates over the evaluated options. We find that an increase in the markets' volatility expectations, captured by the implied volatility indices, is a good Granger predictor of an increase in the synchronization of returns in the following month. Estimating, monitoring, and predicting returns' synchronization is essential for investment decision-making, especially for diversification strategies and regulating financial systems. [ABSTRACT FROM AUTHOR]