Peixin (Payton) Liu; Xu, Kuan; Zhao, Yonggan - In: International Journal of Managerial Finance 7 (2011) April, 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 include...