Re-examining risk premiums in the Fama–French model: The role of investor sentiment
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DOI: 10.1016/j.najef.2015.12.002
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- Liang, Hanchao & Yang, Chunpeng & Zhang, Rengui & Cai, Chuangqun, 2017. "Bounded rationality, anchoring-and-adjustment sentiment, and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 85-102.
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Keywords
Fama–French model; Volatility index (VIX); Credit default swap (CDS); Treasury-Eurodollar (TED) spread; Panel smooth transition regression (PSTR) model;All these keywords.
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