Factor-Based Investing in Market Cycles: Fama–French Five-Factor Model of Market Interest Rate and Market Sentiment
Round 1
Reviewer 1 Report
I suggest minor English language editing and avoiding long complex sentences that go apart from main idea.
Just after introducing variables authors pass to the hypothesis, however, it would be better to add a short information about data, its range, descriptives and others.
Results should be followed with a discussions part to bring all hypothesis together and conclude. You should avoid using variable acronyms in this part, in this case reader needs to go back previuos part to see what that block letter acronym stand for.
This paper is presented in a format which is accessible by practitioners. It focuses on justification, results and implementation; has readable style; technical material is in appendix.
The paper makes a significant contribution to the body of knowledge related to this Journal. It is highly significant, breaks new ground, and provides a foundation for future research.
Discussions and Conclusions part can be expanded a little more.
After minor revisions, the manuscript is acceptable.
Author Response
"Please see the attachment'
Dear Reviewer
Thanks again for your precious time as well as constructive comments. Hereby, we have uploaded the two attachments respectively, the 'cover letter' is a point-to-point response, and the 'revised manuscript' highlighted in red refers to the main revisions for reference.
Author Response File: 
Author Response.docx
Reviewer 2 Report
1. The authors should replace the hypothesis from the introduction parts. Please put the hypothesis development on literature review section.
2. “Our research deals with the following questions: (a) identifying the critical factors influencing returns and volatility through the FF5 model; (b) inferring that interest rate cycles and sentiment cycles have an asymmetric effect on five-factor returns; and (c) assessing the performance of the FF5 model in relation to economic regimes, as generated by market cycles, to obtain optimal factor returns”.
This is statement, and not question.
3. “Motivated by the FF5 model, we conjecture that interest rates and sentiments may drive the risk–reward pattern of the financial market. Hence, we comprehensively employ the market cycle constructed by market interest rate and market sentiment using the FF5 model and asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) model to verify the five-factor returns and characteristics for the US stock market”.
The study’s novelty is not clear. The authors should explain the remaining gap that the previous research still leaves, how it could fill in the gap, and how the theoretical framework benefits from the study's contribution.
I also don't see any solid practical and theoretical reason that convinced the authors to conduct this study.
I understand that the authors feel encouraged to address a “gap”. But I do not really think that there is one.
4. The authors should add more literatures in the paper's introduction and literature review with the recent works. For example, 2019, 2020, 2021, and 2022.
5. The data or study periods have no considerable content or amount of time. Therefore, the authors should use daily data because it reflects market information quickly and effectively.
6. The model is appropriate, well-constructed, and relevant.
7. The main findings organized in a logical sequence.
8. On the discussion section, the authors should mention how the results are consistent or different from other studies and/or are the answer to the study/research question provided.
9. The limitations and future research sections are also brief. It does not specify where future research should be focused.
Author Response
"Please see the attachment."
Dear Reviewer
Thanks again for your precious time as well as constructive comments. Hereby, we have uploaded the two attachments respectively, the 'cover letter' is a point-to-point response, and the 'revised manuscript' highlighted in red refers to the main revisions for reference.
Author Response File: Author Response.docx
Round 2
Reviewer 2 Report
Dear Authors,
Thank you for the revised version.
You have improved the content of your paper.
I consider to accept in present form.
Thank you.
