Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment
15 Pages Posted: 26 Jun 2009 Last revised: 5 Feb 2010
Date Written: December 1, 2008
Multifactor models are often used as a tool to describe equity portfolio risk. Naturally, risk is dependent on the market environment and investor sentiment. Traditional factor models fail to update quickly as market conditions change. It is desirable that the risk model updates to incorporate new information as it becomes available and for this reason diBartolomeo & Warrick introduce a factor model that uses option implied volatility to improve estimates of the future covariance matrix. We extend this work to use both quantified news and implied volatility to improve risk estimates as the market sentiment and environment changes.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
More than Words: Quantifying Language to Measure Firms' Fundamentals
By Paul C. Tetlock, Maytal Saar-tsechansky, ...
Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards
By Murray Z. Frank and Werner Antweiler
Media Coverage and the Cross-Section of Stock Returns
By Lily H. Fang and Joel Peress
When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks
By Tim Loughran and Bill Mcdonald
Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports?
By Feng Li
Yahoo! For Amazon: Sentiment Parsing from Small Talk on the Web
By Sanjiv Ranjan Das and Mike Y. Chen
By Zhi Da, Joseph Engelberg, ...
By Joshua D. Coval and Tyler Shumway
The Impact of Credibility on the Pricing of Managerial Textual Content
By Elizabeth Demers and Clara Vega