Do sentiment indices impact the premium of prominent pricing factors?

Do sentiment indices impact the premium of prominent pricing factors?

This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes in expected premium on Fama–French’s five-fac...

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Bibliographic Details
Main Authors: Ranjeeta Sadhwani, Suresh Kumar Oad Rajput, Ume Habibah
Format: Article
Language:English
Published: Taylor & Francis Group 2018-01-01
Series:Cogent Economics & Finance
Subjects:
vix
google search index
expected return
asset pricing
pricing factors
Online Access:http://dx.doi.org/10.1080/23322039.2018.1550898

Internet

http://dx.doi.org/10.1080/23322039.2018.1550898

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