The disappearance of style in the US equity market
AbstractThis article investigates the modelling of style returns in the United States and the returns to style 'tilts' based on forecasts of enhanced future style returns. We use hidden Markov model to build our forecasts for data from 1975 to 1998. We do not include more recent observations as the subsequent trend and volatility sways the analysis. Our finding that style returns are less forecastible in the late 1990s is consistent with the hypothesis that style returns are the result of anomalies rather than risk premia. The erosion of anomalous returns as public awareness of their presence is translated into strategies that arbitrage away the excess returns seems to be a hypothesis consistent with our modelling results.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 17 (2007)
Issue (Month): 8 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
Other versions of this item:
- Stephen Satchell & Soosung Hwang, 1999. "The Disappearance of Style in the US Equity Market," Working Papers wp99-18, Warwick Business School, Finance Group.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- emmanuel, mamatzakis & george, christodoulakis, 2010.
"Return Attribution Analysis of the UK Insurance Portfolios,"
22516, University Library of Munich, Germany.
- G. Christodoulakis & E. Mamatzakis, 2010. "Return attribution analysis of the UK insurance portfolios," Annals of Finance, Springer, vol. 6(3), pages 405-420, July.
- Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012.
"Dynamic risk exposures in hedge funds,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3517-3532.
- Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008.
"Crisis and Hedge Fund Risk,"
2008_10, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.