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

• Oscar Valdemar De la Torre-Torres ^[1] ; Evaristo Galeana Figueroa ^[1] ; Mª. De la Cruz Del Río-Rama ^[2]
  1. [1] Universidad Michoacana de San Nicolás de Hidalgo

     Universidad Michoacana de San Nicolás de Hidalgo

     México

     
  2. [2] Universidade de Vigo

     Universidade de Vigo

     Vigo, España

     
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 66, Nº. Extra 5, 2021 (Ejemplar dedicado a: lecciones de la pandemia de Covid-2019)
• Idioma: inglés
• DOI: 10.22201/fca.24488410e.2020.3088
• Títulos paralelos:
  • El modelo multifactorial de Fama y French con sentimiento de miedo de noticias de mercados financieros y pandemias: una prueba en las bolsas de valores mexicanas
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    En el presente trabajo se extiende el modelo de tres factores de Fama y French (FF) al incluir incertidumbre económica, de mercados financieros y de noticias de pandemias. Para lograr este objetivo, utilizamos índices globales de noticias o de publicaciones en redes sociales (Twitter). Esto junto con índices de volatilidad implícita (VIX) de México y Estados Unidos. Al utilizar modelos robustos de regresión de datos panel en las 72 empresas más grandes y negociadas de las dos bolsas mexicanas de valores (del 2017 al 2021), encontramos que solo el índice VIX mexicano es útil para extender el modelo FF. Contrario a nuestras expectativas, los índices de sentimiento de noticias y redes sociales tienen un impacto bajo en la formación del precio de las acciones estudiados. Estos resultados sugieren la necesidad de desarrollar índices de sentimiento más apropiados para el caso mexicano

  • English

    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.

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