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Keywords: Asset pricing model
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 233–251.
Published: 23 June 2020
..., with a higher R2 for the market factor and more explanatory power with HML-Dev. Originality/value This paper introduces the term structure of VIX to Fama–French’s asset pricing model. The MCB risk factor identifies underlying configurations of investor sentiment. The sensitivities...
