Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2007 erstellt
Description:
Investors' expectations of market volatility, captured by the VIX (the Chicago Board Options Exchange's volatility index - also known as the quot;investor fear gaugequot;), 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)