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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2016
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7147913/ http://dx.doi.org/10.1016/j.najef.2015.12.002 |