... the historical market volatility measurement VIX and VIX3M to construct a proxy of underlying volatility risk trend, and then examines whether the inclusion of our MCB factor can enhance the explanatory power of all other factors in Fama–French’s asset pricing models. The statistical inference of our MCB factors...

... or has not previously received the visibility that comes with index membership. Each of these four factors represents an element of risk or an aspect associated with pricing uncertainty. Further evidence of the effects of market volatility on investor pricing of risk is found in research...