Fear making Penny study (5)
I believe the answer is:
dread
'fear' is the definition.
('dread' can be a synonym of 'fear')
'penny study' is the wordplay.
'penny' becomes 'd'.
'study' becomes 'read' ('read' can be a synonym of 'study').
'd'+'read'='DREAD'
'making' acts as a link.
(Other definitions for dread that I've seen before include "Disquiet" , "Be scared of" , "Fear - dire" , "quail" , "Anticipate with fear" .)