Liu, Peixin (Payton); Xu, Kuan; Zhao, Yonggan - In: International Journal of Managerial Finance 7 (2011) 2, pp. 107-133
Purpose – This paper aims to extend the Fama and French (FF) three‐factor model in studying time‐varying risk premiums of Sector Select Exchange Traded Funds (ETFs) under a Markov regime‐switching framework. Design/methodology/approach – First, the original FF model is augmented to...
