Fear and the Fama‐French Factors
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- repec:eee:finmar:v:43:y:2019:i:c:p:121-136 is not listed on IDEAS
- Ghulam Sarwar, 2012. "Intertemporal relations between the market volatility index and stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 899-909, June.
- repec:eee:finmar:v:45:y:2019:i:c:p:61-82 is not listed on IDEAS
- repec:eee:eneeco:v:77:y:2019:i:c:p:34-45 is not listed on IDEAS
- Shamsuddin, Abul & Kim, Jae H., 2015. "Market sentiment and the Fama–French factor premia," Economics Letters, Elsevier, vol. 136(C), pages 129-132.
- Durand, Robert B. & Lan, Yihui & Ng, Andrew, 2011. "Conditional beta: Evidence from Asian emerging markets," Global Finance Journal, Elsevier, vol. 22(2), pages 130-153.
- repec:eee:finana:v:57:y:2018:i:c:p:184-206 is not listed on IDEAS
- Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
- repec:eee:riibaf:v:44:y:2018:i:c:p:459-470 is not listed on IDEAS
- Peltomäki, Jarkko & Äijö, Janne, 2015. "Cross-sectional anomalies and volatility risk in different economic and market cycles," Finance Research Letters, Elsevier, vol. 12(C), pages 17-22.
- Sarwar, Ghulam, 2017. "Examining the flight-to-safety with the implied volatilities," Finance Research Letters, Elsevier, vol. 20(C), pages 118-124.
- Lim, Dominic & Durand, Robert B. & Yang, Joey Wenling, 2014. "The microstructure of fear, the Fama–French factors and the global financial crisis of 2007 and 2008," Global Finance Journal, Elsevier, vol. 25(3), pages 169-180.
- Wu, Po-Chin & Liu, Shiao-Yen & Chen, Che-Ying, 2016. "Re-examining risk premiums in the Fama–French model: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 154-171.
- repec:eco:journ1:2019-03-28 is not listed on IDEAS
- repec:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00127-3 is not listed on IDEAS
- Sarwar, Ghulam, 2014. "U.S. stock market uncertainty and cross-market European stock returns," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 1-14.
- repec:taf:oaefxx:v:5:y:2017:i:1:p:1390897 is not listed on IDEAS
- Smales, Lee A., 2015. "Time-variation in the impact of news sentiment," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 40-50.
- repec:eee:jrpoli:v:62:y:2019:i:c:p:482-495 is not listed on IDEAS
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