The Fama-French multifactor model with market and Pandemic news fear sentiments: a test in the Mexican stock markets

In the present paper, we test extension of Fama-French (FF) three-factor model by including Economic, stock market, and Pandemic news uncertainty. For this purpose, used either Global or social media (Twitter) sentiment indexes, along with Mexican U.S. implied volatility (VIX) ones. Using robust panel data regression models in 72 most traded biggest companies markets from 2017 to 2021, found that only VIX index is helpful extend FF model. Contrary our expectations, indexes have a negligible impact on price formation. These results suggest developing more appropriate an essential need markets.