Re-examining risk premiums in the Fama-French model: The role of investor sentiment
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- 作者：Po-Chin Wu ; pochin@cycu.edu.tw" class="auth_mail" title="E-mail the corresponding author ; Shiao-Yen Liu1 ; yenyen320@cycu.org.tw" class="auth_mail" title="E-mail the corresponding author ; Che-Ying Chen1 ; apply1128@hotmail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Fama&ndash ; French model ; Volatility index (VIX) ; Credit default swap (CDS) ; Treasury-Eurodollar (TED) spread ; Panel smooth transition regression (PSTR) model
- 刊名：The North American Journal of Economics and Finance
- 出版年：2016
- 出版时间：April 2016
- 年：2016
- 卷：36
- 期：Complete
- 页码：154-171
- 全文大小：737 K
文摘
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Non-linear Fama–French (1993) models are constructed.
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Three risk premiums in the models are verified to be time-varying.
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The proxies of investor sentiment play crucial roles in the risk premiums.
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Investment strategies associated with the time-varying risk premiums are proposed.