Re-examining risk premiums in the Fama–French model: The role of investor sentiment

This paper reconstructs the Fama–French three-factor (F–F) model as a panel smooth transition regression (PSTR) framework to investigate the differentiated effects of investor sentiment proxies-the volatility index (VIX), credit default swap (CDS), and TED spread-on the three risk premiums. Sample p...

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Detalles Bibliográficos
Autores principales: Wu, Po-Chin, Liu, Shiao-Yen, Chen, Che-Ying
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2016
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7147913/
http://dx.doi.org/10.1016/j.najef.2015.12.002

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7147913/
http://dx.doi.org/10.1016/j.najef.2015.12.002

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