Bhaskaran, Rajesh Kumar; Kovilathumpaday Sukumaran, Sujit - In: Review of Behavioral Finance 14 (2021) 5, pp. 612-626
Purpose: The current study proposes an integrative framework for examination of determinants of stock returns in US market based on the five-factor Fama and French (FF) model, macroeconomic variables and investor sentimental factors. The study is based on both value weighted and equally...