Factor-Based Investing in Market Cycles: Fama–French Five-Factor Model of Market Interest Rate and Market Sentiment

Keyphrases

• Market Sentiment 100%
• Five-factor Model 100%
• Factor-based Investing 100%
• Market Interest Rates 100%
• Market Cycles 100%
• Five-factor 75%
• Low Dose Rate 50%
• Interest Rates 50%
• Value Factor 50%
• Factor Returns 50%
• Excess Returns 50%
• High Interest Rate 50%
• Explanatory Power 25%
• Stock Returns 25%
• Optimal Factor 25%
• Asymmetric Effects 25%
• US Stock Market 25%
• Value Premium 25%
• Size Factor 25%
• Asymmetric GARCH 25%
• Investment Horizon 25%
• Leverage Effect 25%

Economics, Econometrics and Finance

• Effect of Interest Rates 16%