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Cogent Economics & Finance Volume 6, 2018 - Issue 1
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Research Article

Do sentiment indices impact the premium of prominent pricing factors?

Ranjeeta SadhwaniBusiness Administration Department, Sukkur IBA University, Sukkur65200, PakistanView further author information
,
Suresh Kumar Oad RajputBusiness Administration Department, Sukkur IBA University, Sukkur65200, PakistanCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-4443-0750View further author information
ORCID Icon &
Ume HabibahBusiness Administration Department, Sukkur IBA University, Sukkur65200, PakistanORCID Iconhttps://orcid.org/0000-0003-0341-1510View further author information
ORCID Icon |
David McMillanUniversity of Stirling, UKView further author information
(Reviewing editor)
Article: 1550898 | Received 30 Jan 2018, Accepted 16 Nov 2018, Published online: 18 Dec 2018

Figures & data

Table 1. Summary statistics

Table 2. Correlations

Table 3. Granger causality

Table 4. Sentiments indices versus Fama–French five factors—VAR model

Table 5. Sentiments indices versus Q-factors—VAR model

Figure 1. Impulse response function for the Fama and French (Citation2015) five-factors, Hou et al. (Citation2015) q-factors, VIX and GSVIs.

Figure 1. Impulse response function for the Fama and French (Citation2015) five-factors, Hou et al. (Citation2015) q-factors, VIX and GSVIs.

Table 6. Variance decomposition of Fama–French’s five factor, q-factors and D_VIX

Table 7. Variance Decomposition of Fama–French’s five factor, q-factors and Market Crash

Table 8. Variance decomposition of Fama–French’s five factor, q-factors and Bear Market

Table 9. Variance decomposition of Fama–French’s five factor, q-factors and Bull Market

Table 10. Variance Decomposition of Fama–French’s five factor, q-factors and Market Rally

Table A1. Monday effects in Fama and French’s RMW factor.

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