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

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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

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