- Title
- Market sentiment and the Fama-French factor premia
- Creator
- Shamsuddin, Abul; Kim, Jae H.
- Relation
- Economics Letters Vol. 136, p. 129-132
- Publisher Link
- http://dx.doi.org/10.1016/j.econlet.2015.09.021
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2015
- Description
- 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.
- Subject
- generalized impulse response analysis; factor premium; VIX; wild bootstrap
- Identifier
- http://hdl.handle.net/1959.13/1314189
- Identifier
- uon:22721
- Identifier
- ISSN:0165-1765
- Language
- eng
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