Market Volatility and Equity Risk Factors: Dynamic Interactions, Implications, and Evidence from India
“The findings indicate strong interconnectedness between market volatility (VIX) and key risk factors, particularly the market risk premium and momentum.”
AssetEquities
StrategyMomentumsize premium
TechniqueLinear factor model
GeographyEuropeIndia
Also stated: Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
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