The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008

We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our finding...

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Bibliographic Details
Main Authors:	Lim, D., Durand, Robert, Yang, J.
Format:	Journal Article
Published:	Elsevier BV, North-Holland 2014
Subjects:	Fama-french factors Global financial crisis VIX Microstructure
Online Access:	http://hdl.handle.net/20.500.11937/5599

id	curtin-20.500.11937-5599
recordtype	eprints
spelling	curtin-20.500.11937-55992017-09-13T14:39:54Z The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008 Lim, D. Durand, Robert Yang, J. Fama-french factors Global financial crisis VIX Microstructure We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our findings confirm the predicted relationship between the equity risk-premium and risk (Merton, 1980).We find that the size-premium is driven by investors who are flying-to-quality (Abel, 1988; Barsky, 1989). We also find that investors became increasingly sensitive to changes in the VIX during the global financial crisis. 2014 Journal Article http://hdl.handle.net/20.500.11937/5599 10.1016/j.gfj.2014.10.001 Elsevier BV, North-Holland restricted
repository_type	Digital Repository
institution_category	Local University
institution	Curtin University Malaysia
building	Curtin Institutional Repository
collection	Online Access
topic	Fama-french factors Global financial crisis VIX Microstructure
spellingShingle	Fama-french factors Global financial crisis VIX Microstructure Lim, D. Durand, Robert Yang, J. The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008
description	We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our findings confirm the predicted relationship between the equity risk-premium and risk (Merton, 1980).We find that the size-premium is driven by investors who are flying-to-quality (Abel, 1988; Barsky, 1989). We also find that investors became increasingly sensitive to changes in the VIX during the global financial crisis.
format	Journal Article
author	Lim, D. Durand, Robert Yang, J.
author_facet	Lim, D. Durand, Robert Yang, J.
author_sort	Lim, D.
title	The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008
title_short	The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008
title_full	The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008
title_fullStr	The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008
title_full_unstemmed	The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008
title_sort	microstructure of fear, the fama–french factors and the global financial crisis of 2007 and 2008
publisher	Elsevier BV, North-Holland
publishDate	2014
url	http://hdl.handle.net/20.500.11937/5599
first_indexed	2018-09-06T18:01:31Z
last_indexed	2018-09-06T18:01:31Z
_version_	1610882106409353216

The Microstructure of Fear, the Fama–French factors and the Global Financial Crisis of 2007 and 2008

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