Fear and the Fama‐French Factors
研究发现，VIX（投资者恐惧指数）衡量的市场波动预期会影响美国股票的预期收益，尤其对市场风险溢价和价值溢价敏感，波动预期上升时投资者转向安全资产并提高要求回报。
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. Changes in the VIX drive variations in the expected returns of the factors included in the Fama and French three‐factor model augmented with a momentum factor. The market risk premium (R m – R f ) and the value premium (HML) are especially sensitive to changes in the VIX. An increase in expected volatility is associated with flights to quality and increases in estimated required returns.