Abstract
Investors' expectations of market volatility, captured by the VIX (the Chicago Board Options Exchange's volatility index - also known as the investor fear gauge), affects the expected returns of US equities in two ways. Firstly, the VIX is a priced-factor in a five-factor model of daily returns (where Fama and French's three-factor model is augmented with a momentum factor and the VIX). Secondly, changes in the VIX drive variations in the expected returns of the other factors included in this model of returns, notably the market risk-premium (Rm-Rf) and the value-premium (HML).
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
