Market sentiment and the Fama–French factor premia
Abul Shamsuddin and
Jae Kim ()
Economics Letters, 2015, vol. 136, issue C, 129-132
We report new evidence that factor premia have strong dynamic effects on a range of sentiment measures, while the reverse effect is weak and only contemporaneous. Our analysis takes explicit account of endogeneity of sentiment measures to factor premia, and adopts statistical inference robust to non-normality and heteroscedasticity, which are largely neglected in the previous studies.
Keywords: Generalized impulse response analysis; Factor premium; VIX; Wild bootstrap (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:136:y:2015:i:c:p:129-132
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