In this study Fama and French three-factor model is augmented to take into account the time variation in systematic risk (as measured by time-varying betas), in addition to size and book-to market equity factors. It is investigated whether the two factors are still priced on the stock exchange...

This study tests the presence of day-of-the-week effect with respect to the VIX (fear gauge) and its underlying market index Nifty 50 in India for a period from March 2009 to February 2016 using OLS and GARCH (1, 1) framework. Investors can use the day-of-the-week effects information to avoid...