The Fama-French multifactor model with market and Pandemic news fear sentiments: a test in the Mexican stock markets

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.