dor_id: 4130082

506.#.#.a: Público

590.#.#.d: Los artículos enviados a la revista "Contaduría y Administración", se juzgan por medio de un proceso de revisión por pares

510.0.#.a: Consejo Nacional de Ciencia y Tecnología (CONACyT); Sistema Regional de Información en Línea para Revistas Científicas de América Latina, el Caribe, España y Portugal (Latindex); Scientific Electronic Library Online (SciELO); SCOPUS, SCImago Journal Rank (SJR)

561.#.#.u: https://www.fca.unam.mx/

650.#.4.x: Ciencias Sociales y Económicas

336.#.#.b: article

336.#.#.3: Artículo de Investigación

336.#.#.a: Artículo

351.#.#.6: http://www.cya.unam.mx/index.php/cya/index

351.#.#.b: Contaduría y Administración

351.#.#.a: Artículos

harvesting_group: RevistasUNAM

270.1.#.p: Revistas UNAM. Dirección General de Publicaciones y Fomento Editorial, UNAM en revistas@unam.mx

590.#.#.c: Open Journal Systems (OJS)

270.#.#.d: MX

270.1.#.d: México

590.#.#.b: Concentrador

883.#.#.u: https://revistas.unam.mx/catalogo/

883.#.#.a: Revistas UNAM

590.#.#.a: Coordinación de Difusión Cultural

883.#.#.1: https://www.publicaciones.unam.mx/

883.#.#.q: Dirección General de Publicaciones y Fomento Editorial

850.#.#.a: Universidad Nacional Autónoma de México

856.4.0.u: http://www.cya.unam.mx/index.php/cya/article/view/4583/1670

100.1.#.a: De la Torre Torres, Oscar Valdemar; Galeana Figeroa, Evaristo

100.1.#.0: et al

524.#.#.a: De la Torre Torres, Oscar Valdemar, et al. (2021). The Fama-French multifactor model with market and Pandemic news fear sentiments: a test in the Mexican stock markets. Contaduría y Administración; Vol. 66, Núm. 5. Recuperado de https://repositorio.unam.mx/contenidos/4130082

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

502.#.#.c: Universidad Nacional Autónoma de México

561.1.#.a: Facultad de Contaduría y Administración, UNAM

264.#.0.c: 2021

264.#.1.c: 2022-03-03

653.#.#.a: Mercados financieros; market sentiment; mexican stock market pricing; Covid-19; policy uncertainty index; social media uncertainty index; volatility indexes; factor models; mercados financieros; market sentiment; mexican stock market pricing; Covid-19; policy uncertainty index; social media uncertainty index; volatility indexes; factor models

506.1.#.a: La titularidad de los derechos patrimoniales de esta obra pertenece a las instituciones editoras. Su uso se rige por una licencia Creative Commons BY 4.0 Internacional, https://creativecommons.org/licenses/by/4.0/legalcode.es, fecha de asignación de la licencia 2022-03-03, para un uso diferente consultar al responsable jurídico del repositorio por medio del correo electrónico revista_cya@fca.unam.mx

884.#.#.k: http://www.cya.unam.mx/index.php/cya/article/view/4583

001.#.#.#: oai:ojs.pkp.sfu.ca:article/4583

041.#.7.h: spa

520.3.#.a: 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..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.

773.1.#.t: Contaduría y Administración; Vol. 66, Núm. 5

773.1.#.o: http://www.cya.unam.mx/index.php/cya/index

022.#.#.a: ISSN electrónico: 2448-8410; ISSN impreso: 0186-1042

310.#.#.a: Trimestral

264.#.1.b: Facultad de Contaduría y Administración, UNAM

758.#.#.1: http://www.cya.unam.mx/index.php/cya/index

doi: https://doi.org/10.22201/fca.24488410e.2021.4583

handle: 00dd6aa9bfc0fecd

harvesting_date: 2022-10-12 10:00:00.0

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