El modelo, Oscar V. De la Torre-Torres, Evaristo Galeana Figueroa, Mª. De la Cruz, Del Río-Rama
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引用次数: 0
Abstract
In the present paper, we test the extension of the Fama-French (FF) three-factor model by including Economic, stock market, and Pandemic news uncertainty. For this purpose, we used either Global news or social media (Twitter) sentiment indexes, along with Mexican and U.S. implied volatility (VIX) ones. Using robust panel data regression models in the 72 most traded and biggest companies in the Mexican stock markets from 2017 to 2021, we found that only the Mexican VIX index is helpful to extend the FF model. Contrary to our expectations, the social media and news sentiment indexes have a negligible impact on stock price formation. These results suggest that developing more appropriate sentiment indexes is an essential need in the Mexican stock markets.
期刊介绍：
Contaduría y Administración (Accounting and Management)is a quarterly journal aimed to the academic community. Being peer-reviewed by double blind process,seeks to contribute to the advancement of scientific and technical knowledge in the financial and administrative disciplines. This journal publishes original theoretical or applied research (No case studies, descriptive and exploratory) in Spanish and English on the following subjects: • Organization Management • Production Management and Operations • Human Resources Management • Management of Information Technology • Accounting and Auditing • Management and Leadership • Business Economics • Entrepreneurship • Business Environment • Finance • Operations Research • Innovation and Technological Change in Organizations • Marketing • Micro, Small and Medium Enterprises • Planning and Business Strategies • Management Theory • Financial Theory • Business Decisions Contaduría y Administración (Accounting and Management) also receives research papers on related areas to the above mentioned.
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