Fear and the Fama-French factors
Investors’ expectations of market volatility, captured by the VIX (the Chicago Board Options Exchange’s volatility index, also known as the “investor fear gauge”), affects the expected returns of US equities. Changes in the VIX drive variations in the expected returns of the factors included in the...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Wiley-Blackwell Publishing, Inc.
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/33840 |
| _version_ | 1848754058603528192 |
|---|---|
| author | Durand, Robert Lim, D. Zumwalt, J. |
| author_facet | Durand, Robert Lim, D. Zumwalt, J. |
| author_sort | Durand, Robert |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Investors’ expectations of market volatility, captured by the VIX (the Chicago Board Options Exchange’s volatility index, also known as the “investor fear gauge”), affects the expected returns of US equities. Changes in the VIX drive variations in the expected returns of the factors included in the Fama and French three-factor model augmented with a momentum factor. The market risk premium (Rm – Rf ) and the value premium (HML) are especially sensitive to changes in the VIX. An increase in expected volatility is associated with flights to quality and increases in estimated required returns. |
| first_indexed | 2025-11-14T08:34:22Z |
| format | Journal Article |
| id | curtin-20.500.11937-33840 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:34:22Z |
| publishDate | 2011 |
| publisher | Wiley-Blackwell Publishing, Inc. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-338402017-09-13T16:07:34Z Fear and the Fama-French factors Durand, Robert Lim, D. Zumwalt, J. Investors’ expectations of market volatility, captured by the VIX (the Chicago Board Options Exchange’s volatility index, also known as the “investor fear gauge”), affects the expected returns of US equities. Changes in the VIX drive variations in the expected returns of the factors included in the Fama and French three-factor model augmented with a momentum factor. The market risk premium (Rm – Rf ) and the value premium (HML) are especially sensitive to changes in the VIX. An increase in expected volatility is associated with flights to quality and increases in estimated required returns. 2011 Journal Article http://hdl.handle.net/20.500.11937/33840 10.1111/j.1755-053X.2011.01147.x Wiley-Blackwell Publishing, Inc. restricted |
| spellingShingle | Durand, Robert Lim, D. Zumwalt, J. Fear and the Fama-French factors |
| title | Fear and the Fama-French factors |
| title_full | Fear and the Fama-French factors |
| title_fullStr | Fear and the Fama-French factors |
| title_full_unstemmed | Fear and the Fama-French factors |
| title_short | Fear and the Fama-French factors |
| title_sort | fear and the fama-french factors |
| url | http://hdl.handle.net/20.500.11937/33840 |