Fear and the Fama-French factors

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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...

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Bibliographic Details
Main Authors:	Durand, Robert, Lim, D., Zumwalt, J.
Format:	Journal Article
Published:	Wiley-Blackwell Publishing, Inc. 2011
Online Access:	http://hdl.handle.net/20.500.11937/33840

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