The impact of investor sentiment for the U.S. stock market based on Fama-French 3-factor model
نویسندگان
چکیده
Particularly, it is difficult to accurately measure investor sentiment due the inherent complexity and dynamic change. This paper tests impact of investors’ behavior in U.S. equity market. By using monthly data from February 2014 December 2018, impacts are examined. Besides, Fama-French risk factors investigated a new multiple factor asset pricing model. Specifically, measured by six-variable composite index. Empirical results indicate that composition systemic risk. In this case, three model with can fully explains return stocks USA stock comparing trend market index, will affect volatility, i.e., verifies effectiveness index U.S,
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ژورنال
عنوان ژورنال: E3S web of conferences
سال: 2021
ISSN: ['2555-0403', '2267-1242']
DOI: https://doi.org/10.1051/e3sconf/202127501055