文章基本信息

标题：Do sentiment indices impact the premium of prominent pricing factors?
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作者：Ranjeeta Sadhwani ; Suresh Kumar Oad Rajput ; Ume Habibah 等
期刊名称：Cogent Economics & Finance
电子版ISSN：2332-2039
出版年度：2018
卷号：6
期号：1
DOI：10.1080/23322039.2018.1550898
出版社：Taylor and Francis Ltd
摘要：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-factors and q-factors. Pessimistic sentiment indices (Market Crash and Bear Market) predict more significant variation in the premium of prominent pricing factors than optimistic sentiment indices (Market Rally and Bull Market), and also have a significant correlation with VIX representing downside risk. Furthermore, the sentiment indices are better in predicting premium on five-factors than q-factors.
关键词：VIX ; Google search index ; expected return ; asset pricing ; pricing factors