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Fear and the Fama‐French Factors

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  • Robert B. Durand
  • Dominic Lim
  • J. Kenton Zumwalt

Abstract

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Suggested Citation

  • Robert B. Durand & Dominic Lim & J. Kenton Zumwalt, 2011. "Fear and the Fama‐French Factors," Financial Management, Financial Management Association International, vol. 40(2), pages 409-426, June.
  • Handle: RePEc:bla:finmgt:v:40:y:2011:i:2:p:409-426
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    Cited by:

    1. Shamsuddin, Abul & Kim, Jae H., 2015. "Market sentiment and the Fama–French factor premia," Economics Letters, Elsevier, vol. 136(C), pages 129-132.
    2. 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.
    3. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
    4. 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.
    5. Sarwar, Ghulam, 2017. "Examining the flight-to-safety with the implied volatilities," Finance Research Letters, Elsevier, vol. 20(C), pages 118-124.
    6. 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.
    7. 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.
    8. 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.
    9. Smales, Lee A., 2015. "Time-variation in the impact of news sentiment," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 40-50.

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